A1095
Title: A Method for Quantify the Characteristics of Voltaties on Financial Assets by using Fuzzy
Authors: ChiFang Chao - National Taipei University of Technology (Taiwan) [presenting]
Mu-En Wu - National Taipei University of Technology (Taiwan)
Ming-Hua Hsieh - National Chengchi University (Taiwan)
Abstract: An innovative approach based on fuzzy theory is presented to assess the effectiveness of integrating momentum and contrarian-type trading strategies with a position overweighting technique. The method involves employing random simulation to mitigate the influence of market information, quantifying the profitability of the trading strategy, and finally, normalizing the profit index using a fuzzy function. This proposed method is applied to various financial assets, such as TAIFEX Futures, NASDAQ 100 Futures, DJIA Futures, Crude Oil Futures, and Soybean Futures. The experimental results showcased the outstanding performance of the approach. Specifically, on TAIFEX Futures, the optimal portfolio outperformed over 80% of stochastic portfolios in terms of accumulated payoff. Furthermore, when applied to S&P 500 futures, crude oil futures, and soybean futures, the approach demonstrated an impressive 75% accuracy in identifying suitable trading strategies and, on average, outperformed 94% of stochastic portfolios.
