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- W2019373961 abstract "본 논문에서는 퍼지이론을 주식, 선물 등의 거래 시스템에 적용 분석해 보고 그 결과를 토대로 파라볼릭 SAR 지표의 성능개선에 적용할 수 있는 가능성을 제기하였다. 실제의 선물 데이터에 적용한 결과 기존의 파라볼릭 SAR 지표보다는 제안된 퍼지 SAR 지표가 매매횟수와 거짓신호를 적게 발생시키는 것을 확인할 수 있었다. 기존의 파라볼릭 SAR에서는 가속증분을 0.02로, 가속변수의 최대값을 0.2로 고정하는 것이 보통이나, 제안한 퍼지 SAR에서는 가속증분과 가속변수의 최대값이 퍼지규칙을 기반으로 조절되도록 하였다. 매매전문가의 경험적 지식을 단기 이평선과 중기 이평선 사이의 이격과 단기 이평선의 기울기를 기반으로 퍼지 규칙화하여 사용하므로, 퍼지 SAR의 가속증분과 가속변수의 최대값이 진행추세에 종속하여 조절된다. This paper proposes the possibility which the fuzzy theory can be used to improve the performance of the parabolic SAR(Stop-And-Reverse) indicator in the trading systems for stock market. The simulation results with data of the KOSPI 200 future show that the occurred number of trading signals and the false signals in the proposed fuzzy SAR indicator is less than that in the conventional SAR indicator. In the conventional SAR system, the incremental value of the acceleration factor is usually setted as 0.02 and the maximum value of the acceleration factor is usually limited as 0.2. But in the proposed fuzzy SAR system, the incremental value and the maximum value of the acceleration factor are automatically adjusted by using the fuzzy rules, which are designed based-on the difference between short-term moving average and medium-term moving average and also based-on the slope of short-term moving average." @default.
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- W2019373961 date "2011-04-25" @default.
- W2019373961 modified "2023-10-01" @default.
- W2019373961 title "A Study on the Automatic Adjustment of the Parabolic SAR by using the Fuzzy Logic" @default.
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- W2019373961 doi "https://doi.org/10.5391/jkiis.2011.21.2.230" @default.
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