A fuzzy engine model for financial market prediction

The prediction of either the Stock Market or Foreign Exchange Market (Forex) is a very challenging problem in the financial arena. In the last few years many sophisticated models were developed to predict the stocks or exchange rates in order to achieve a maximum profit. Fuzzy models are one of the powerful methods that are used in this field. This paper proposes a new fuzzy engine model that acts as an expert indicator that can generate buy and sell signals and can be applied for both Stock Market and Foreign Exchange market prediction. The Fuzzy Engine Model combines the most popular technical indicators with their firing strengths to provide a new fuzzy indicator that achieves good results compared to the other traditional indicators. Experiments were conducted to evaluate the performance of the model on both stock data and foreign exchange data. Results obtained using different performance measures indicate that the proposed Fuzzy Engine Model gives more reliable buy and sell positions in different time horizons compared to other technical indicators.