Forex Trading Robot Using Fuzzy Logic

TL;DR

This paper presents a fuzzy logic-based trading robot for the forex market that improves transaction accuracy and profitability by replacing classical indicators with fuzzy Mamdani systems and combining their outputs through voting.

Contribution

It introduces a novel fuzzy Mamdani system for forex indicators and a voting mechanism to enhance trading performance over traditional methods.

Findings

Significant increase in profitability factor.

Higher net and gross profits compared to other methods.

Reduced maximum capital reduction.

Abstract

In this study, we propose a fuzzy system for conducting short-term transactions in the forex market. The system is designed to enhance common strategies in the forex market using fuzzy logic, thereby improving the accuracy of transactions. Traditionally, technical strategies based on oscillator indicators have relied on predefined ranges for indicators such as Relative Strength Index (RSI), Commodity Channel Indicator (CCI), and Stochastic to determine entry points for trades. However, the use of these classic indicators has yielded suboptimal results due to the changing nature of the market over time. In our proposed approach, instead of employing classical indicators, we introduce a fuzzy Mamdani system for each indicator. The results obtained from these systems are then combined through voting to design a trading robot. Our findings demonstrate a considerable increase in the profitability factor compared to three other methods. Additionally, net profit, gross profit, and maximum capital reduction are calculated and compared across all approaches.