Abstract
During the last few years, we have developed an expert system, called PORSEL (PORtfolio SELection system), which uses a small set of rules to select stocks. PORSEL consists of three components: the Information Center, the Fuzzy Stock Selector, and the Portfolio Constructor. The purpose of the information center is to provide representation of several technical indicators such as candlestick charts, moving average of closing prices, and price trends. The fuzzy stock selector evaluates the listed stocks and then assigns a composite score for each stock. The portfolio constructor generates the optimal portfolios for the selected stocks. The PORSEL also includes a user-friendly interface for adding and deleting rules during the run time. The results of simulation shows that PORSEL outperformed the market almost every year during the testing period.
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Zargham, M., Mogharreban, N. PORSEL: an expert system for assisting in investment analysis and valuation. Soft Comput 9, 742–748 (2005). https://doi.org/10.1007/s00500-004-0408-1
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DOI: https://doi.org/10.1007/s00500-004-0408-1