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Hello,
I started some experiments with Fuzzy Logic in QuantConnect / Lean.
Fuzzy Logic makes sense in technical trading, as the variables are considered fuzzy (many-valued logic) with "truth values" between 0 and 1. This is much more adequate for leading with subjective decisions and uncertainity, rather than with crisp values wich are "idealistic". Example, is RSI > 80 High ? What about 89 ? Not high at all ? :)
Please, find an intro to fuzzy logic in the context of automated trading here
In this example i used two classic indicators - RSI and Momentum - just for illustration purpose.
Many rules can run at the same time, and Linguistic Variables can have several memberships.
I am using the Accord.NET frammework Fuzzy Library (installed on LEAN since Machine Learning also from accord was installed):
http://www.aforgenet.com/articles/fuzzy_computing_basics/
Documentation:
http://accord-framework.net/docs/html/N_AForge_Fuzzy.htm
Feel free to contact me, for questions, or ideation sharing.
Have fun
Guadiana
Sorry, in the example i wanted to write What about 79 ? Is it not High ? :) No, if our rule is a crisp one - IF RSI > 80. But with memberships, yes, 79 is high. Not so high as 80, but it is still "a lot" high
Nik milev
Marco, thanks for sharing!
I am cloning the algo and reading a bit more on fuzzy logic, very educational!
Thanks
Nik
MC LANGE
Hi,
I read an interesting implementation that you may use to sophisticate the criteria
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.90.5035&rep=rep1&type=pdf
Rgds
Marc
Guadiana
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