Enhancement of price trend trading strategies via image-induced importance weights

Zhoufan Zhu and Ke Zhu

Papers from arXiv.org

Abstract: We open up the "black-box" to identify the predictive general price patterns in price chart images via the deep learning image analysis techniques. Our identified price patterns lead to the construction of image-induced importance (triple-I) weights, which are applied to weighted moving average the existing price trend trading signals according to their level of importance in predicting price movements. From an extensive empirical analysis on the Chinese stock market, we show that the triple-I weighting scheme can significantly enhance the price trend trading signals for proposing portfolios, with a thoughtful robustness study in terms of network specifications, image structures, and stock sizes. Moreover, we demonstrate that the triple-I weighting scheme is able to propose long-term portfolios from a time-scale transfer learning, enhance the news-based trading strategies through a non-technical transfer learning, and increase the overall strength of numerous trading rules for portfolio selection.

Date: 2024-08
New Economics Papers: this item is included in nep-big
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2408.08483 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2408.08483

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().