A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules

A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by profit and risk. The aim is to contribute to the literature of technical analysis (TA) by proposing a general and adaptive tool for supporting trading strategies of investors and market practitioners. Recent advances of trading rules based on SSA are pooled together in a complimentary fashion, with the intention that this group of strategies outperforms its individual constituents, as occur with ensembles. Simulations are presented showing the improvements of the proposed TS over classic tools of TA and the benchmark Buy & Hold strategy for the Brazilian stock market.