## Archive for May, 2010

### 3DPlot the NN

This post is the continuation of the previous posts. I wanted to see visually what the ANN has learnt. We are lucky that currently we use only 2 inputs, therefore the function that the ANN learnt can be plotted in a 3D chart. On the X, Y axis we use the 2 inputs, the Z […]

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### Changing the 2 SMA parameters

In the previous posts, we used the 50 days for the shortTerm SMA, and 199 for the long term SMA. Let’s change these parameters randomly (a more rigorous optimization would be better, I admit) and plot the results: nShortTermMA = 22; nLongTermMA = 189; winLoseRatios Arithmetic Mean: 54.23%, stdev: 4.27%, avgBarGainPercent mean: 0.19%, stdev: 0.27%, […]

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This post is the continuation of the previous articles. Although, it is sensible to use as many indicators as possible for NN input, just for fun, let’s try using only one. The input is (as previously), the RUT index %distance from its SMA(D). For instance, if the input is -0.02, that means the RUT is […]

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The test performed in the last post had a startdate of 1997-11-28 and enddate of 2010-03. That was about 12 years. Using every week as 1 sample resulted a sample count of about 12 * 52 = 600. Basically, we used the Monday/next Monday/next-next Monday samples. The NN likes as many samples as possible. Therefore […]

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See previous post. It is a continuation of that. The previous week performance and VIX as inputs haven’t got too much predictive power. But at least they had some. We have to find other inputs that has more predictive power. For instance weekly interest rates may have an effect to the stock market. However, now, […]

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