Developing a rule change trading system for the futures market using rough set analysis

作者：

Highlights：

• This study proposes a unique rule change trading system for the futures market.

• Rough set analysis is adopted for generating trading rules.

• A genetic algorithm is used to optimize the thresholds for buying and selling signals.

• To verify the proposed system, a sliding window method is applied.

摘要

• This study proposes a unique rule change trading system for the futures market.• Rough set analysis is adopted for generating trading rules.• A genetic algorithm is used to optimize the thresholds for buying and selling signals.• To verify the proposed system, a sliding window method is applied.

论文关键词：Rough set,Genetic algorithm,Rule change trading system,Futures market

论文评审过程：Received 9 March 2016, Revised 24 April 2016, Available online 26 April 2016, Version of Record 4 May 2016.

论文官网地址：https://doi.org/10.1016/j.eswa.2016.04.031