Candlestick chart based trading system using ensemble learning for financial assets

Yunus Santur

Candlestick chart based trading system using ensemble learning for financial assets

Abstract

The candlestick charts, which were developed in the 18th century and were initially used in the Japanese rice market, are widely used in trading strategies in all financial markets after 1991. Candlestick charts can interpret opening, high, low and closing values of an asset in a single visual. In addition to these advantages, the large number of candlestick chart patterns makes their practical use difficult. In th e st udy de veloped fo r th is pu rpose, a so ftware fra mework that uses candlestick charts and predicts the trend direction was created. The study consists of four stages. In the first step, a system that recognizes candle patterns is created. In the second stage, the performance of the model is measured by running training and testing processes on data sets in which candlestick chart types and trend direction are labeled. In the machine learning phase, community methods such as xgboost were used. In the last stage of the study, it was seen that with the strategy based on only recognizing the candlestick pattern and taking position in the direction of the trend based on proposed approach, higher profit was obtained in 11 world indices compared to Buy&Hold strategy.

Keywords

References

The article references can be accessed from the .pdf file.

Details

Primary Language

English

Subjects

Engineering

Journal Section

Research Article

Authors

Yunus Santur ^* This is me
0000-0002-8942-4605
Türkiye

Publication Date

June 6, 2022

Submission Date

January 10, 2021

Acceptance Date

April 4, 2021

Published in Issue

Year 2022 Volume: 40 Number: 2

IZ

https://izlik.org/JA68WT78MU

Cite

RIS / Bibtex

APA

Santur, Y. (2022). Candlestick chart based trading system using ensemble learning for financial assets. Sigma Journal of Engineering and Natural Sciences, 40(2), 370-379. https://izlik.org/JA68WT78MU

AMA

1.Santur Y. Candlestick chart based trading system using ensemble learning for financial assets. SIGMA. 2022;40(2):370-379. https://izlik.org/JA68WT78MU

Chicago

Santur, Yunus. 2022. “Candlestick Chart Based Trading System Using Ensemble Learning for Financial Assets”. Sigma Journal of Engineering and Natural Sciences 40 (2): 370-79. https://izlik.org/JA68WT78MU.

EndNote

Santur Y (June 1, 2022) Candlestick chart based trading system using ensemble learning for financial assets. Sigma Journal of Engineering and Natural Sciences 40 2 370–379.

IEEE

[1]Y. Santur, “Candlestick chart based trading system using ensemble learning for financial assets”, SIGMA, vol. 40, no. 2, pp. 370–379, June 2022, [Online]. Available: https://izlik.org/JA68WT78MU

ISNAD

Santur, Yunus. “Candlestick Chart Based Trading System Using Ensemble Learning for Financial Assets”. Sigma Journal of Engineering and Natural Sciences 40/2 (June 1, 2022): 370-379. https://izlik.org/JA68WT78MU.

JAMA

1.Santur Y. Candlestick chart based trading system using ensemble learning for financial assets. SIGMA. 2022;40:370–379.

MLA

Santur, Yunus. “Candlestick Chart Based Trading System Using Ensemble Learning for Financial Assets”. Sigma Journal of Engineering and Natural Sciences, vol. 40, no. 2, June 2022, pp. 370-9, https://izlik.org/JA68WT78MU.

Vancouver

1.Yunus Santur. Candlestick chart based trading system using ensemble learning for financial assets. SIGMA [Internet]. 2022 Jun. 1;40(2):370-9. Available from: https://izlik.org/JA68WT78MU