Neurofuzzy Decision-Making Approach for the Next Day Portfolio Thai Stock Index Management Trading Strategies

Stock investment has become an important investment activity in Thailand. However, investors usually got loss because of unclear investment objective and blind investment. Therefore, a good investment decision support system to assist investors in making good decisions has become an important research problem. Thus, this paper introduces an intelligent decision-making model, based on the application of Neurofuzzy system (NFs) technology. Our proposed system is used to decide a trading strategy on next day for highly profit of each stock index. Firstly, our decision-making model was including in two NFs model, such as Predictor and Portfolio Management. Secondly, the optimizing algorithm, included in our proposed model, shown as a result of different forms of decision-making model, different number of membership function in NFs, NFs inputs and sliding windows, that effect to profit. Finally, the experimental results have shown higher profit than the single NFs and “Buy & Hold” models over each stock index. The results are very encouraging and can be implemented in a Decision-Making trading system during the next trading day period.