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Forecasting Price Movements using Technical Indicators: Investigating Window Size Effects
| Content Provider | Semantic Scholar |
|---|---|
| Author | Shynkevich, Yauheniya Mcginnity, Thomas Martin Coleman, Sonya Belatreche, Ammar Li, Yuhua |
| Copyright Year | 2018 |
| Abstract | 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. Window size 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 a window size 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 window size 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. Keywords— decision making, evaluating forecasts, price forecasting, technical trading, stock market forecasting |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://usir.salford.ac.uk/41188/1/Journal1_v02%2020160318.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
