Archive for February, 2010

Previously when I realized that the Open/High/Low prices of the SPX is unreliable, I revert back to use only the close price and volume data per day in the input. However, if we want the NN to find patterns in candlestick charts, we have to give the candlestick input, the open/high/low prices as well. Because […]

Maybe I found the first method that has a slightly significant predictive power. NNeurons = 20, ValidationError = 6, Input: only the closeprice% and the volume, (however, inputs can be negative [-1, 1] version.) Input(:, k) = [p_volumesChange(k), p_volumesChange(k+1), p_volumesChange(k+2), p_volumesChange(k+3), p_volumesChange(k+4), p_closePricesChange(k), p_closePricesChange(k+1), p_closePricesChange(k+2), p_closePricesChange(k+3), p_closePricesChange(k+4)] The file: NNTest10.m ****Test: 70. winLoseRatios Arithmetic Mean: […]

I haven’t posted anything in the last week, but I tried many things in the code. 1. One of the important things is that I developed a little framework that can run backtest forever and register the winLoseRatios and avgDaily gains. Therefore I don’t have to manually run every backtest. I can set the framework […]

Normalize data!


The dismal performance of a previous post for the SP Close prediction let me down. According to a couple of suggestions, it is worth normalizing the data. So far, the problem is the too wide swings in foracast: after 1138 closePrice of the previous day, the NN sometimes predicts 1299 closeprice for the next day.  […]

Can ANN outsmart the market? To illustrate why NN is a difficult approach, I can show two examples: One is this forum: And this as another forum: What I saw in those forums that there was a lot of enthusiasm at the beginning, but the authors faced too much challenge. The initial network […]