A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules

Author(s)

Rodrigues Leles, Michel Carlo ^[1] ; Mozelli, Leonardo Amaral ^[2] ; Sbruzzi, Elton Felipe ^[3] ; Nascimento Junior, Cairo Lucio ^[3] ; Guimaraes, Homero Nogueira ^[2]

Affiliation

^[1] Univ Fed Sao Joao del Rei, Dept Technol DTECH, BR-36420000 Ouro Branco - Brazil

^[2] Univ Fed Minas Gerais, BR-31270901 Belo Horizonte, MG - Brazil

^[3] Inst Tecnol Aeronaut, BR-12228900 Sao Jose Dos Campos - Brazil

• Document type: Journal article
• Source: IEEE SYSTEMS JOURNAL; v. 14, n. 1, p. 1468-1478, MAR 2020.
• Web of Science Citations: 0

Abstract

A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by profit and risk. The aim is to contribute to the literature of technical analysis (TA) by proposing a general and adaptive tool for supporting trading strategies of investors and market practitioners. Recent advances of trading rules based on SSA are pooled together in a complimentary fashion, with the intention that this group of strategies outperforms its individual constituents, as occur with ensembles. Simulations are presented showing the improvements of the proposed TS over classic tools of TA and the benchmark Buy \& Hold strategy for the Brazilian stock market. (AU)

• FAPESP's process: 16/04992-6 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance
• Grantee: Cairo Lúcio Nascimento Júnior
• Support Opportunities: Research Grants - eScience and Data Science Program - Regular Program Grants
• FAPESP's process: 17/20248-8 - Employing computational intelligence techniques and Big Data analytics in a multi-agent system experiment of finance
• Grantee: Michel Carlo Rodrigues Leles
• Support Opportunities: Scholarships in Brazil - Post-Doctoral