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1、ApatternrecognitionalgorithmforoptimalprofitsincurrencytradingDaniloPelusiAbstract.Akeyissueintechnicalanalysisistoobtaingoodandpossiblystableprofits.Varioustradingrulesforfinancialmarketsdoexistforthistask.Thispaperdescribesapatternrecognitionalgorithmtoopti
2、mallymatchtrainingandtradingperiodsfortechnicalanalysisrules.Amongthefiltertechniques,weusetheDualMovingAverageCrossover(DMAC)rule.ThistechniqueisappliedtohourlyobservationsofEuro-Dollarexchangerates.Thematchingmethodisaccomplishedusingtenchartpatternsveryp
3、opularintechnicalanalysis.Moreover,inorderfortheresultstohaveastatisticalsense,weusethebootstraptechnique.Theresultsshowthatthealgorithmproposedisagoodstartingpointtoobtainpositiveandstableprofits.Keywords:trainingsets,tradingsets,technicalanalysis,recognit
4、ionalgorithm1IntroductionThechoiceofthebesttradingrulesforoptimalprofitsisoneofthemainproblemsintheuseoftechnicalanalysistobuyfinancialinstruments.ParkandIrwin[31]describedvarioustypesoffilterrules,forinstancetheDualMovingAverageCrossoverfamily,theMomentumgro
5、upofrulesandtheOscillators.Foreachofthesefilterrulesweneedtofindtherulethatassuresthehighestprofit.Somegoodtechnicalprotocols,togetoptimalprofitsintheforeignexchangemarket,havebeenfoundbyPelusietal.[32].Thetradersattributetosomechartpatternsthepropertyofassess
6、ingmarketcon-ditions(inanyfinancialmarket)andanticipatingturningpoints.Thiskindofanaly-sisstartedwiththefamous[23],whichproducedanimportantstreamofliterature.However,thepopularityofthiskindofanalysishasbeenfrequentlychallengedbymainstreamfinancialeconomists[
7、7,9,22,28–30,35].Generally,thesuccessofaruleinactualtradingisindependentofthetypeoffilterused.Itdependsonthechoiceofaso-called“trainingset",wherethemaximumprofitparametersofarulearefound,andofanindependent“tradingset"whereyouapplytheoptimisedfilterfoundinthet
8、rainingphase.Inotherwords,arulewhichgivesgoodprofitsinoneperiodcouldcausesomelossesinadifferentperiod.Thisisduetosubstantialdifferencesintheshapesoftheassetpriceinthetwo.So,theM.Corazzaetal.(eds.),Mathematical
