CONSTRUCTING TRADING RULES USING TECHNICAL ANALYSIS AND EDDIE: EVIDENCE FROM AN EMERGING MARKET

ER H., ÇETİN M. K.

6th International Symposium on Intelligent and Manufacturing Systems, Sakarya, Turkey, 14 - 16 October 2008, pp.695-703

  • Publication Type: Conference Paper / Full Text
  • City: Sakarya
  • Country: Turkey
  • Page Numbers: pp.695-703
  • Akdeniz University Affiliated: Yes

Abstract

This study is a continuation of an empirical investigation of the profitability of trading rules generated by a Genetic Programming based financial forecasting and decision making tool, EDDIE (Evolutionary Dynamic Data Investment Evaluator). In our earlier work, we applied EDDIE on Istanbul Stock Exchange (ISE) National 100 index and showed that EDDIE outperformed individual technical trading indicators. In this study, we again ask EDDIE to obtain profitable trading rules, this time for eight selected shares traded in the Istanbul Stock Exchange (ISE). EDDIE, using ordinal data, combined individual predictions generated by simple technical indicators. Results indicate that EDDIE generally improves forecasting by combining these simple trading rules that are widely used by investors.