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Investigating the Efficiency of Market Indicators in Trading Systems

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Uncertainty and Imprecision in Decision Making and Decision Support: New Advances, Challenges, and Perspectives (IWIFSGN 2020, BOS/SOR 2020)

Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 338))

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Abstract

In this paper, we evaluate the usability of different market indicators. To do so, we propose and analyze three methods that can be used to estimate the efficiency of market indicators for specific trading instruments. In these methods, different measures of efficiency are applied, referring to the correctness of signals generated by the given indicator, their profitability, and the maximal drawdown concept. Formulations of these measures are presented and implemented in an experimental trading system. The system has been used in tests based on real-world data acquired from the forex market.

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Author information

Authors and Affiliations

  1. Department of Machine Learning, University of Economics in Katowice, 1 Maja 50, 40-287, Katowice, Poland

    Przemysław Juszczuk

  2. Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447, Warsaw, Poland

    Lech Kruś

Authors
  1. Przemysław Juszczuk
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  2. Lech Kruś
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Corresponding author

Correspondence to Przemysław Juszczuk .

Editor information

Editors and Affiliations

  1. Department of Bioinformatics and Mathematical Modelling, Bulgarian Academy of Sciences, Institute of Biophysics and Biomedical Engineering, Sofia, Bulgaria

    Krassimir T. Atanassov

  2. Institute of Biophysics and Biomedical, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Vassia Atanassova

  3. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Janusz Kacprzyk

  4. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Andrzej Kałuszko

  5. WIT-Warsaw School of Information Technology, Warsaw, Poland

    Maciej Krawczak

  6. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Jan W. Owsiński

  7. Faculty of Technical Sciences, “Prof. Assen Zlatarov” University, Burgas, Bulgaria

    Sotir S. Sotirov

  8. Faculty of Natural Sciences, “Prof. Assen Zlatarov” University, Bourgas, Bulgaria

    Evdokia Sotirova

  9. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Eulalia Szmidt

  10. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Sławomir Zadrożny

Appendices

Appendix 1

In this Appendix, we present details for rules used in the numerical experiments for all five market indicators.

  • rule for the CCI indicator:

    $$BUY \, if \, (CCI(t-1)<-100) \wedge (CCI(t)>-100),$$

  • rule for the RSI indicator:

    $$BUY \, if \, (RSI(t-1)<0.3) \wedge (RSI(t)>0.3),$$

  • rule for the DeMarker indicator:

    $$BUY \, if \, (DM(t-1)<0.3) \wedge (DM(t)>0.3),$$

  • rule for the Bulls indicator:

    $$BUY \, if \, (Bulls(t-1)<0) \wedge (Bulls(t)>0),$$

  • rule for the OsMA indicator:

    $$BUY \, if \, (OsMA(t-1)<0) \wedge (OsMA(t)>0),$$

Appendix 2

This Appendix presents detailed results for two remaining market indicators (Table 5, 6, 7, 8 and 9).

Table 5. The overall number of signals generated for the D1 time window (2400 readings) and H4 time window (12000 readings) – two indicators
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Table 6. The accuracy of the prediction for the D1 time window and two selected indicators
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Table 7. The accuracy of the prediction for the H4 time window and two selected indicators
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Table 8. Profit achieved by different market indicators for the whole analyzed time span (9 years) and the time window equal to D1 – 2 indicators
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Table 9. Profit achieved by different market indicators for the selected bullish trend and the time window equal to D1 – 2 indicators
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Juszczuk, P., Kruś, L. (2022). Investigating the Efficiency of Market Indicators in Trading Systems. In: Atanassov, K.T., et al. Uncertainty and Imprecision in Decision Making and Decision Support: New Advances, Challenges, and Perspectives. IWIFSGN BOS/SOR 2020 2020. Lecture Notes in Networks and Systems, vol 338. Springer, Cham. https://doi.org/10.1007/978-3-030-95929-6_15

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