Abstract
This paper proposes time series forecasting using a new feature selection method based on the non-overlap area distribution measurement method and Takagi's and Sugeno's fuzzy model. The non-overlap area distribution measurement method selects the minimum number of 4 input features with the highest performance result from 12 initial input features by removing the worst input features one by one. This paper proposes CPP <inf xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">n,m</inf> (Current Price Position on day n: percentage of the difference between the price on day n and the moving average of the past m days' prices from day n-1) as a new technical indicator. The performance result improves by from 58.35% to 58.86% when CPP <inf xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">n,5</inf> is added to the minimum number of 4 input features that are selected by the non-overlap area distribution measurement method as a new input feature.
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