A currency trading system based on simplified models using fuzzy multi-criteria hierarchical optimization

Pavel V. Sevastjanov, Krzysztof Kaczmarek, Leszek Rutkowski

Abstract: Highlights•Currency algorithmic trading systems.•Simple trading models based on new tools of technical analysis.•Positive and negative overfitting concept.•Fuzzy local criteria of trading quality based on output models’ parameters.•Multiple-criteria hierarchical fuzzy optimization of trading models.