Using Extended Classifier System to Forecast SaP Futures Based on Contrary Sentiment Indicators
作者： An-Pin Chen , Yung-Hua Chang
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摘要: This research demonstrates the accurate forecasting performance of extended classifier system (XCS) based on contrary sentiment indicators in predicting S&P 500 futures. These include volatility index, put-call ratio, and trading index. To prove that XCS can fit financial domain, is compared with three strategies, including buy-and-hold, trend-following, mean-reversion strategies over same sample period. The simulation results showed possesses both accuracy profits earning capability real world.
nctu.edu.tw参考文章(32)
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