Table 1 List and definitions of the variables used in GMDH neural network

Volatility

ATR

Average True Range

An indicator used to measure the volatility of the prices in the past two weeks

BB

Bollinger Bands

An indicator related to the volatility of the price, proposed by John Bollinger, contains three-track lines, high (BBH), low (BBL), and median (BBM)

KC

Keltner Channel

An indicator related to the volatility of the price, proposed by Chester W. Keltner, contains three-track lines, high (KCH), low (KCL), and center (KCC)

DC

Donchian Channel

An indicator related to the volatility of the price, proposed by Richard Donchian, includes three track lines, high (DCH), low (DCL), and median (DCM)

Trend

MACD

Moving Average Convergence Divergence

A typical indicator that illustrates the securities and stocks' price trend, guiding investors when to buy and sell. It shows the strength of the stock and securities to investors and the changing orientation of the prices

ADX

Average Directional Movement Index

An indicator that measures the average values of a stock or security's prices with an expanding price range. Overall, it illustrates the possible change trends' strength, letting investors know whether the price is more likely to rise or decrease

VI

Vortex Indicator

An indicator to present the changing trend of the prices of stocks. It can identify the prices' current trends or identify the current trends' reversal

MI

Mass Index

An indicator related to the trend is mainly used to identify the current price trend's possible reversals

CCI

Commodity Channel Index

An indicator that is used to evaluate the trend of stock prices and the strength of the trend. Simultaneously, it can also be used to identify the scenario of being oversold or overbought

DPO

Detrended Price Oscillator

An indicator related to the trend is used to evaluate the change cycle of a stock's prices

PSR

Parabolic Stop and Reverse

An indicator that is similar to VI, which identifies the potential trend or reversals in the prices

Return

DR

Daily Return

The daily return rate of a stock

DLR

Daily Log Return

The logarithm value of the daily return rate

CR

Cumulative Return

The return rate of stock in a period

Momentum

MFI

Money Flow Index

An indicator that is used to identify the signals related to oversold and overbought based on the trading volume and prices

RSI

Relative Strength Index

An indicator related to momentum, measuring the changing speed of the prices of stocks

TSI

True Strength Index

An indicator that is used to illustrate the changing orientation of the prices

UO

Ultimate Oscillator

An indicator that is used to identify the momentum of the price of an asset in different periods

SR

Stochastic Oscillator

An indicator related to the momentum that identifies the gaps between the close price and the average price in a particular period

WR

Williams %R

An indicator that is used to identify an asset's close price to judge the oversold and overbought conditions

AO

Awesome Oscillator

An indicator that is used to measure the overall momentum of the stock market

KAMA

Kaufman's Adaptive Moving Average

An indicator that is developed to identify the level of noise in the market

ROC

Rate of Change

An indicator that measures the changing rate of the prices of an asset

TRIX

Triple Exponential Average

An indicator related to momentum, proposed by Jack Hutson, shows the percentages of changes in the triple smoothed moving average. It is used to filter the changes in prices, which are regarded as unimportant, enabling investors to focus on those crucial changes

KST

Know Sure Thing Oscillator

A momentum oscillator that is used to help investors or stock traders understand the changes in rates. It is based on the measurement of the ROC

Ichimoku

Ichimoku Kinko Hyo

An indicator developed to monitor the changes of momentum and to identify the resistance and support for future changes