The combination of qualitative forecasts
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Composite forecasting has received increasing attention in the literature. However, with the exception of Feather and Kaylen (1987), previous studies of composite forecasting have only considered the combination of cardinal forecasts. Despite the growing importance of qualitative models, the resolution of conflicting qualitative forecasts has received little attention. The main objective of this thesis is the development of a method to combine qualitative forecasts. The second objective of this thesis is to apply the theoretical model to the combination of signals generated from three technical trading systems. For illustrative purposes, five live cattle and six corn futures contracts are used. Out-of-sample forecasts made by the composite and individual trading systems are evaluated by the number of correct positions forecast and profit. The results of this study indicate that the proposed composite method performs well.
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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.