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You've asked for it, and now it is here: the Fuzzy Sets add-on for NeuroShell Trader Professional and DayTrader Professional.
Fuzzy logic was invented by L.A. Zadeh and further popularized by Bart Kosko. Fuzzy logic is not some theoretical idea that has yet to catch on. By 1990 the Japanese had over 100 real fuzzy control applications and products. The city of Sendai in Japan has controlled its subway with fuzzy logic since 1988. General Motors’ highly successful Saturn applies fuzzy logic for automatic transmission shift control. Duke University engineers have shown that intentionally imprecise rules of thinking can help hotel computers sell the right room to the right customer at the right time, thus boosting income.
Ward Systems Group introduced what we believe was the first commercial trading software to allow users to describe price movements with fuzzy logic statements (the Fuzzy Pattern Recognizer add-on). A user could essentially give NeuroShell instructions such as:
“Find patterns where the price rose, then dropped, then dropped sharply, then rose sharply.”
The new Fuzzy Sets add-on is somewhat different in that it allows users to describe a combination of values of traditional indicators with fuzzy logic. With Fuzzy Sets the user can instruct NeuroShell with functions equivalent to fuzzy statements like:
“Buy when the Stochastic %K indicator is very high, and the Commodity Channel Index is high, and the spread between two moving averages is low.”
Contrast that with the typical trading utilization of an indicator is to make decisions based upon rules like whether that indicator (let’s say the Stochastic %K) is above or below some threshold. For example:
Buy when the STOCH%K > 70 and sell when the STOCH%K < 40
Those 2 rules above are sometimes called “crisp” rules, because they “break off” suddenly. In the last rule above, you are buying when the STOCH%K is 70 but not when it is 69. A human might still give consideration to buying when the STOCH%K reached 69, or even at a level of 65, although he would not consider it as strong as a buy as when STOCH%K = 70. In fact, a human would probably consider STOCH%K=80 to be a much stronger buy signal than STOCH%K=70.
Fuzzy rules are a little different than crisp rules in that they do not break off suddenly. Let's consider the following example, where we will use the STOCH%K again. Suppose we have decided that STOCH%K can be considered to be in one of 5 categories or “fuzzy sets”:
Then we could create “fuzzy” rules such as one of these two:
Buy when STOCH%K is high and sell when STOCH%K is very low. Buy when STOCH%K is very high and sell when STOCH%K is medium.
- very low
- very high
Actually the Fuzzy Sets add-on does not really use fuzzy words like low, very high, etc.
For one thing, instead of just 5 fuzzy sets (very low, low, medium, high, and very high) you can have 10 or 20 or
even more if you like. So instead of words, we use 1 for the lowest, 2 for the next lowest, etc. on up to the highest
Of course, most people will have no idea what fuzzy set you should be looking for in order to buy or sell, so that's
where the NeuroShell optimizer comes in. The optimizer will decide the total number of fuzzy sets, and which set
you should have for a long entry, long exit, short entry, and short exit.
Our Fuzzy Sets indicators can be used in Trading Strategies as well as neural nets. We have some that do a Fuzzy-AND
of up to 10 fuzzy indicators, and other that do a Fuzzy-OR of up to 10 fuzzy indicators.