Maximisation of investment profits: An approach to MACD based on genetic algorithms and fuzzy logic

FCR Marques, RM Gomes… - IEEE Congress on …, 2010 - ieeexplore.ieee.org
FCR Marques, RM Gomes, PEM de Almeida, HE Borges, SR Souza
IEEE Congress on Evolutionary Computation, 2010ieeexplore.ieee.org
A new methodology for the parameterization of the technical analysis of the financial market
indicator coined Moving Average Convergence-Divergence (MACD) is presented in this
paper. The architecture of the MACD involves the use of exponential moving averages that
in turn use different time windows, tracking securities prices trends and signaling the right
moment to purchase and sell the shares. By using genetic algorithms, it is possible to
establish an optimal value for the time window which could yield higher profits when …
A new methodology for the parameterization of the technical analysis of the financial market indicator coined Moving Average Convergence-Divergence (MACD) is presented in this paper. The architecture of the MACD involves the use of exponential moving averages that in turn use different time windows, tracking securities prices trends and signaling the right moment to purchase and sell the shares. By using genetic algorithms, it is possible to establish an optimal value for the time window which could yield higher profits when compared to the time window used in literature. The use of fuzzy logic indicates the best moment for purchase and sale of shares, improving the security of each transaction, thus resulting in increased success rate. The methodology proposed is validated by taking into account the Petrobras shares (PETR4) in the period between February 2005 and August 2008 when such methodology led a profit higher than that yielded in the usual parameterisation.
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