Forecast Russell 2000 instead of SP500


Other researchers point to the fact that they couldn’t find reliable technical indicators having
‘significant’ prediction power for the SP500 and the Dow, but they could find for less ‘optimal’ markets like the Nasdaq and the Russell 2000.
So, I tried my NN testing with adjusted IWM instead of SPY.

After 37 tests: (from 2000-2010)
winLoseRatios Arithmetic Mean: 51.07%, stdev: 2.28%
So, this is an edge of 1%. Hardly worth playing.

projectedCAGRs Arithmetic Mean (biased to the upside): 9.30%, stdev: 28.79%
the stdev of the CAGR is not convincing.

The parameters:

nNeurons = 20;
nDaysInTest = 260;
nInputSignals = 5; %+3; % close and volume and open, high, low
nDaysInInputVector = 5;

That is again no a good news. I expected more.
Note: I adjusted the price, but not the volume and the IWM has a 2:1 split. So, in theory, the volume should be adjusted as well.
That is a bug (to be honest), but I don’t think its correctness would modify the 51% prediction power of the network.


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