Development Of Technical Indicators With Trading Volume And Forgetting Factor

This research examines the efficacy of technical indicators combined with trading volume and forgetting factor.BIAS indicator is studied at first,then after containing trading volume and forgetting factor two indicators are constructed called BIAS_V indicator and BIAS_VT indicator which form a sequence of indicators.In the same way,two more sequences of indicators are constructed on the base of MACD indicator and RSI indicator.Each indicators has its ups and downs in different markets.The second part of this paper focus on the strategies based on different indicators.Three common strategies used for stopping loss and win are introduced and optimized for different indicators.Random forest,SVM,neural network are used in order to combine different indicators of every sequence.Their outputs is the signal of final indicator that can be used to defining the trading strategies.Comparing the returns obtained by final indicator and original signal indicator,it can be concluded that machine learning techniques can capture the features of different indicators and the return of final indicator is better than the returns of single ones.