CAST: using neural networks to improve trading systems based on technical analysis by means of the RSI financial indicator

Abstract

Stock price predictions have been a field of study from several points of view including, among others, artificial intelligence and expert systems. For short term predictions, the technical indicator relative strength indicator (RSI) has been published in many papers and used worldwide. CAST is presented in this paper. CAST can be seen as a set of solutions for calculating the RSI using arti ficial intelligence techniques. The improvement is based on the use of feedforward neural networks to calculate the RSI in a more accurate way, which we call the iRSI. This new tool will be used in two sce narios. In the first, it will predict a market in our case, the Spanish IBEX 35 stock market. In the second, it will predict single company values pertaining to the IBEX 35. The results are very encouraging and reveal that the CAST can predict the given market as a whole along with individual stock pertaining to the IBEX 35 index.