Fuzzy Decision Mechanism for Stock Market Trading

Abstract

Investors utilize various methods to make buy/sell decisions depending on time-dependent stock market prices. In this study, a fuzzy decision mechanism that makes buy/sell decisions for stock market data is proposed. The proposed mechanism generates instant buy/sell decisions by evaluating three popular indicators which are the Moving Average Convergence/Divergence (MACD) Strategy, Chaikin Money Flow (CMF), and Stochastic Oscillator (SO). The fuzzy decision mechanism has three inputs and one output which are defined by using Gaussian membership functions. In the design of the decision mechanism, Mamdani inference method is used and the rule table is defined by nine rules. Therefore, the structure of the proposed fuzzy decision mechanism is simple and straightforward. The performance of the proposed fuzzy decision mechanism is compared with two classical decision mechanisms using MACD and CMF indicators separately. In the comparisons, the stock market data of Borsa Istanbul 100 Index (XU100), Dow Jones Industrial Average (^DJI), and S&P 500 (^GSPC) are used. The comparison results show that the proposed fuzzy decision mechanism provides significantly higher profit than the mechanisms using either MACD or CMF indicators for all stock market data.

Keywords

• Fuzzy logic
• Stock market
• Technical indicators
• Technical analysis
• XU100
• ^DJI
• ^GSPC

Hisse Senedi Piyasası için Bulanık Karar Mekanizması

Öz

Yatırımcılar, hisse senedi/borsa değerlerinin zamana bağlı olarak alım/satım kararlarını vermek için çeşitli yöntemler kullanmaktadırlar. Bu çalışmada, hisse senedi piyasası verilerine ilişkin alım/satım kararlarını veren bir bulanuk karar mekanizması önerilmiştir. Önerilen çıkarım mekanizması üç popular gösterge olan Hareketli Ortalama Yakınsama/Iraksama (MACD), Chaikin Para Akışı (CMF) ve Stokastik Osilatör (SO) göstergelerini değerlendirerek anlık alım/satım kararları üretmektedir. Bulanık karar mekanizmasının, Gauss üyelik fonksiyonları kullanılarak tanımlanmış üç adet girişi ve bir adet çıkışı vardır. Karar mekanizmasının tasarımında Mamdani çıkarım yöntemi kullanılmış ve kural tablosu dokuz kural ile tanımlanmıştır. Bu nedenle, önerilen bulanık karar mekanizmasının yapısı basit ve anlaşılırdır. Önerilen bulanık karar mekanizmasının performansı, MACD ve CMF göstergelerini ayrı ayrı kullanan iki klasik karar mekanizması ile karşılaştırılmıştır. Karşılaştırmalarda Borsa Istanbul 100 Endeksi (BIST100), Dow Jones Borsası Endüstri Endeksi (^DJI) ve S&P 500 (^GSPC) borsa verileri kullanılmıştır. Karşılaştırma sonuçları, önerilen bulanık karar mekanizmasının tüm borsa verileri için MACD veya CMF göstergelerini kullanan klasik karar mekanizmalarından önemli ölçüde daha yüksek kar sağladığını göstermektedir.

Anahtar Kelimeler

• bulanık mantık
• borsa
• teknik göstergeler
• teknik analiz
• BIST100
• ^DJI
• ^GSPC

Kaynakça

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