A Stock Trading System for a Medium Volatile Asset using Multi Layer Perceptron

• URL: http://arxiv.org/abs/2201.12286v1
• Date: Mon, 17 Jan 2022 16:08:40 GMT
• Title: A Stock Trading System for a Medium Volatile Asset using Multi Layer Perceptron
• Authors: Ivan Letteri, Giuseppe Della Penna, Giovanni De Gasperis, Abeer Dyoub
• Abstract summary: We propose a stock trading system having as main core the feed-forward deep neural networks (DNN) to predict the price for the next 30 days of open market. The results were promising bringing a total profit factor of 3.2% in just one month from a very modest budget of $100.
• Score: 0.6882042556551609
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Stock market forecasting is a lucrative field of interest with promising profits but not without its difficulties and for some people could be even causes of failure. Financial markets by their nature are complex, non-linear and chaotic, which implies that accurately predicting the prices of assets that are part of it becomes very complicated. In this paper we propose a stock trading system having as main core the feed-forward deep neural networks (DNN) to predict the price for the next 30 days of open market, of the shares issued by Abercrombie & Fitch Co. (ANF) in the stock market of the New York Stock Exchange (NYSE). The system we have elaborated calculates the most effective technical indicator, applying it to the predictions computed by the DNNs, for generating trades. The results showed an increase in values such as Expectancy Ratio of 2.112% of profitable trades with Sharpe, Sortino, and Calmar Ratios of 2.194, 3.340, and 12.403 respectively. As a verification, we adopted a backtracking simulation module in our system, which maps trades to actual test data consisting of the last 30 days of open market on the ANF asset. Overall, the results were promising bringing a total profit factor of 3.2% in just one month from a very modest budget of $100. This was possible because the system reduced the number of trades by choosing the most effective and efficient trades, saving on commissions and slippage costs.

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