Forecasting price movements using technical indicators: Investigating the impact of varying input window length

NEUROCOMPUTING

卷:264

Article

Shynkevich, Yauheniya¹  McGinnity, T. M.^1,2  Coleman, Sonya A.¹  Belatreche, Ammar³  Li, Yuhua⁴ 

[1] Ulster Univ, Intelligent Syst Res Ctr, Derry, North Ireland

[2] Nottingham Trent Univ, Sch Sci & Technol, Nottingham, England

[3] Northumbria Univ, Fac Engn & Environm, Dept Comp & Informat Sci, Newcastle Upon Tyne, Tyne & Wear, England

[4] Univ Salford, Sch Comp Sci & Engn, Manchester, Lancs, England

关键词: Stock price prediction;    Financial forecasting;    Technical trading;    Decision making;   

DOI  :  10.1016/j.neucom.2016.11.095

来源: Elsevier

【 摘 要 】

The creation of a predictive system that correctly forecasts future changes of a stock price is crucial for investment management and algorithmic trading. The use of technical analysis for financial forecasting has been successfully employed by many researchers. Input window length is a time frame parameter required to be set when calculating many technical indicators. This study explores how the performance of the-predictive system depends on a combination of a forecast horizon and an input window length for forecasting variable horizons. Technical indicators are used as input features for machine learning algorithms to forecast future directions of stock price movements. The dataset consists of ten years daily price time series for fifty stocks. The highest prediction performance is observed when the input window length is approximately equal to the forecast horizon. This novel pattern is studied using multiple performance metrics: prediction accuracy, winning rate, return per trade and Sharpe ratio. Crown Copyright (C) 2017 Published by Elsevier B.V. All rights reserved.

【 授权许可】

Free