<abstract xmlns="http://www.w3.org/1999/xhtml">

Decision support and trading systems for the forex market mostly derive a single signal for the decision-maker. This is so, because instruments are evaluated based on a single criterion, which creates a ranking of instruments, from which the best one is selected. At the same time, one can observe a lack of tools allowing one to derive the set of non-dominated trading opportunities considered in the multicriteria space.
This article focuses on multicriteria analysis, in which several different market indicators describe a single instrument on the forex market (currency pair), leading to definite criteria. Thus, for a given time horizon, we consider a set of currency pairs described by a group of technical market indicators in every trading session. However, instead of deriving crisp information, based on the buy-no buy binary logic, we use concepts from the fuzzy sets theory, in which each criterion for a single variant takes a value from the 〈0, 1〉 interval. We select only the non-dominated variants from such a set, which will be used as elements of the portfolio of currency pairs on the forex market.
We test our idea on the real-world data covering more than ten years, several technical market indicators, and over twenty different currency pairs. The preliminary results show that the proposed idea can be treated as a promising concept for deriving a portfolio of currency pairs instead of focusing on only a single currency pair.
</abstract>

Decision support and trading systems for the forex market mostly derive a single signal for the decision-maker. This is so, because instruments are evaluated based on a single criterion, which creates a ranking of instruments, from which the best one is selected. At the same time, one can observe a lack of tools allowing one to derive the set of non-dominated trading opportunities considered in the multicriteria space.
This article focuses on multicriteria analysis, in which several different market indicators describe a single instrument on the forex market (currency pair), leading to definite criteria. Thus, for a given time horizon, we consider a set of currency pairs described by a group of technical market indicators in every trading session. However, instead of deriving crisp information, based on the buy-no buy binary logic, we use concepts from the fuzzy sets theory, in which each criterion for a single variant takes a value from the 〈0, 1〉 interval. We select only the non-dominated variants from such a set, which will be used as elements of the portfolio of currency pairs on the forex market.
We test our idea on the real-world data covering more than ten years, several technical market indicators, and over twenty different currency pairs. The preliminary results show that the proposed idea can be treated as a promising concept for deriving a portfolio of currency pairs instead of focusing on only a single currency pair.

Fuzzy trading system on the forex market for deriving the portfolio of instruments

Control and Cybernetics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Decision support and trading systems for the forex market mostly derive a single signal for the decision-maker. This is so, because instruments are evaluated...

Fuzzy trading system on the forex market for deriving the portfolio of instruments

Published Online: Feb 24, 2024

Page range: 467 - 486

Received: Oct 01, 2022

Accepted: Dec 01, 2022

DOI: https://doi.org/10.2478/candc-2022-0025

Keywords
trading systems, forex market, fuzzy sets, multicriteria optimization

© 2022 Przemys law Juszczuk et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Fuzzy trading system on the forex market for deriving the portfolio of instruments

Published Online: Feb 24, 2024

Page range: 467 - 486

Received: Oct 01, 2022

Accepted: Dec 01, 2022

DOI: https://doi.org/10.2478/candc-2022-0025

Keywordstrading systems, forex market, fuzzy sets, multicriteria optimization

© 2022 Przemys law Juszczuk et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
trading systems, forex market, fuzzy sets, multicriteria optimization