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Próba konstrukcji systemu transakcyjnego opartego na wykrywaniu prostych formacji

100%
Tarczyński G.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 898
27-39
EN
The article presents the idea of creating trading systems using Dempster-Shafer theory. Simple (usually one-day) technical analysis formations were used to generate signals. The system is created in two stages. Initially, based on historical data, for a defined set of focal elements, the basic probability assignment of each formation is calculated. The probability distributions can then be united using the Dempster rule. The empirical part examines whether it would be possible to create the transactional system described for a futures contract on the WIG20 index. The result was negative. The likely causes rendering the construction of such a system very difficult are described.
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