Szczegóły publikacji
Opis bibliograficzny
A fuzzy three-criteria optimization-based currency trading system with adaptive criteria shapes and money management / Krzysztof Kaczmarek, Pavel Sevastjanov, Ludmila Dymova, Adam Kulawik, Leszek RUTKOWSKI // Engineering Applications of Artificial Intelligence ; ISSN 0952-1976 . — 2025 — vol. 159 pt. B art. no. 111689, s. 1–21. — Bibliogr. s. 20–21, Abstr. — Publikacja dostępna online od: 2025-07-15. — L. Rutkowski – dod. afiliacja: Systems Research Institute of the Polish Academy of Sciences, Warsaw, Poland
Autorzy (5)
- Kaczmarek Krzysztof
- Sevastjanov Pavel
- Dymova Ludmila
- Kulawik Adam
- AGHRutkowski Leszek
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 169234 |
|---|---|
| Data dodania do BaDAP | 2026-09-10 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.engappai.2025.111689 |
| Rok publikacji | 2025 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Engineering Applications of Artificial Intelligence |
Abstract
The paper is focused on the development of algorithmic trading modeling - the modern branch of financial engineering. The concepts of negative overfitting risk and irregular shape of fuzzy criteria in currency trading modeling have been introduced. The first concept is based on observations, according to which deep drawbacks of the profit curve at the optimization stage can lead to negative overfitting (loss of profit during the testing period), as well as high local peaks on this profit curve. Thus, we can say that any significant irregularity of the profit curve can lead to losses due to the emergence of the effect of overfitting. To implement this concept, two relevant indicators of technical analysis and, based on them, risk criteria were developed. The second concept is based on the informal but logically justified assumption that irregular optimized forms of used membership functions may better reflect current market conditions. To implement these concepts, two fuzzy three-criteria optimization-based currency trading models comprised the profitability, reliability and risk local criteria with adaptive criteria shapes and money management were developed. These models were confirmed by the results obtained by modeling intraday trading over the past five years and four months on a 1-hour timeframe and the six most traded currency pairs. A comparison of these results with the results obtained by other authors confirmed their significant superiority and thus confirmed the correctness of the concepts introduced.
