MGP-INTACTSKY: Multitree Genetic Programming-based learning of INTerpretable and ACcurate TSK sYstems for dynamic portfolio trading.

•MGP-INTACTSKY is a fuzzy rule based system for dynamic portfolio trading.•Multitree Genetic Programming (MGP) is applied to learn the TSK fuzzy rule bases.•The new TSK structure leads to a more interpretable and accurate system.•Input variables are technical indices selected by stepwise regression analysis.•The results are based on testing of the model on one emerging and two mature markets.