Using Extended Classifier System to Forecast S&P Futures Based on Contrary Sentiment Indicators

@article{Chen2005UsingEC,
  title={Using Extended Classifier System to Forecast S&P Futures Based on Contrary Sentiment Indicators},
  author={An-Pin Chen and Yung-Hua Chang},
  journal={2005 IEEE Congress on Evolutionary Computation},
  year={2005},
  volume={3},
  pages={2084-2090}
}
This research demonstrates the accurate forecasting performance of extended classifier system (XCS) based on contrary sentiment indicators in predicting S&P 500 futures. These indicators include volatility index, put-call ratio, and trading index. To prove that XCS based on sentiment indicators can fit the financial forecasting domain, the performance of XCS is compared with that of three trading strategies, including buy-and-hold, trend-following, and mean-reversion strategies over the same… CONTINUE READING
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