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Uncover Hidden Market Relationships Using Fuzzy Logic

September 19, 2012 by sanz prophet Leave a Comment

In the previous posts (pt1, pt.2,  pt.3) we talked a bit about how to take various indicators and fuzzify them. Now I will show how we can quickly test for relationships in indicators.So the question is: Can we only use RSI(3) and RSI(14) (short term and medium term Relative Strength Index) to trade the S&P500?So …

Read moreUncover Hidden Market Relationships Using Fuzzy Logic

Filed Under: Amibroker, Stock, strategy, strategy development

Fuzzy Logic Optimization -The “WOO-FOO-SMASH-EFIS-MEE-COPT” model

September 17, 2012 by sanz prophet Leave a Comment

Fuzzy Logic pt.3: Auto-generate model parameters I often tire of reading these complicated academic papers that are filled with impossible jargon only to make my life harder. I have found that often times the difficult terminology only hides the simple concepts that lie behind. So here I will use a difficult term myself,  just to sound smarter …

Read moreFuzzy Logic Optimization -The “WOO-FOO-SMASH-EFIS-MEE-COPT” model

Filed Under: Amibroker, Matlab, strategy development

The case for Fuzzy Logic in Trading – Pt. 2: Amibroker

September 13, 2012 by sanz prophet 4 Comments

Backtesting Fuzzy Logic in Amibroker In pt.1 we backtested a “fuzzified” trading strategy in Matlab (read part 1): Buy when RSI(3) is Low and it’s before Expiration week. Although it was easy to develop this fuzzy model in Matlab, due to the intuitive GUI, it is difficult to get meaningful backtest results, visual signals, statistics …

Read moreThe case for Fuzzy Logic in Trading – Pt. 2: Amibroker

Filed Under: Amibroker, strategy, strategy development

Trading with Fuzzy Logic

September 10, 2012 by sanz prophet 3 Comments

The case for Fuzzy Logic in Trading The more I backtest strategies the more I feel the need for robustness in a system. There is no point to optimize return. One should optimize certainty of positive return. Most strategies that do really well in the past are over complicated and over-fitted and tend to loose money. One …

Read moreTrading with Fuzzy Logic

Filed Under: fuzzy logic, Matlab, strategy, strategy development

The Yield Curve as a predictor for the SP500

September 10, 2012 by sanz prophet Leave a Comment

*This post was drafted on September 2011 and not posted. I am posting it now with an updated chart at the end. The question is: Does Treasury Yield data contain usable information on trading the SP500? The answer seems to be yes. I am using 3 month, 5 year, 10 year and 30 year Treasury …

Read moreThe Yield Curve as a predictor for the SP500

Filed Under: SPY, strategy development

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