To build an automatic trading system, one needs: meaningful variables for describing the behaviour of the investigated financial asset; an interpretative algorithm able to find out hidden relationships among the considered variable; a suitable strategy capable to transform these relationships in operative indications. In this contribution we consider as variables some Technical Analysis indicators and we uses as interpretative algorithm the Group Method of Data Handling, a soft-computing approach. The developed automatic trading system is applied to a 30-minutes time series of prices and volumes of the US T-Bond future from June 1, 1995 to May 25 2000.
Developing automatic trading systems by Technical Analysis and GMDH
CORAZZA, Marco
;
2002-01-01
Abstract
To build an automatic trading system, one needs: meaningful variables for describing the behaviour of the investigated financial asset; an interpretative algorithm able to find out hidden relationships among the considered variable; a suitable strategy capable to transform these relationships in operative indications. In this contribution we consider as variables some Technical Analysis indicators and we uses as interpretative algorithm the Group Method of Data Handling, a soft-computing approach. The developed automatic trading system is applied to a 30-minutes time series of prices and volumes of the US T-Bond future from June 1, 1995 to May 25 2000.
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