I came across this series of papers on IEEE transactions on fuzzy systems:
Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models
Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models
Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks
The author (Professor Li-Xin Wang, http://www.ece.ust.hk/~eewang/) quitted his job as a tenured professor (with 1 million hkd annual salary) and made 100 million hkd using this model, according to his blog. Here is a blog (in Chinese) of the author:
http://blog.sciencenet.cn/home.php?mod=space&uid=2999994
Is there anybody interested in implementing this algorithm in Quantopian?