Crisp vs Fuzzy Decision Support Systems for the Forex Market
A new concept of the multicriteria fuzzy trading system using the technical analysis is proposed. The existing trading systems use different indicators of the technical analysis and generate buy or sell signal only when assumed conditions for a given indicator are satisfied. The information presented to the trader – decision maker is binary. The decision maker obtains a signal or no. In comparison to the existing traditional systems called as crisp, the proposed system treats all considered indicators jointly using the multicriteria approach and the binary information is extended with the use of the fuzzy approach. Currency pairs are considered as variants in the multicriteria space in which criteria refer to different technical indicators. The introduced domination relation allows generating the most efficient, non-dominated (Pareto optimal) variants in the space. An algorithm generated these non-dominated variants is proposed. It is implemented in a computer-based system assuring sovereignty of the decision maker.
We compare the proposed system with the traditional crisp trading system. It is made experimentally on different sets of real-world data for three different types of trading: short-term, medium and long-term trading. The achieved results show the computational efficiency of the proposed system. The proposed approach is more robust and flexible than the traditional crisp approach. The set of variants derived for the decision maker in the case of the proposed approach includes only non-dominated variants, what is not possible in the case of the traditional crisp approach.
KeywordsTrading system Forex Fuzzy membership function Multicriteria analysis
The preliminary version of this paper was presented at the 3rd Conference on Information Technology, Systems Research and Computational Physics, 2–5 July 2018, Cracow, Poland .
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