Archive for July, 2010

We made a separate study that uses ARMA (Auto-Regressive Moving Averages) machine learning technique for predicting daily and weekly SPX, RUT values. We found that the overall gain was worse for the weekly case than for the daily case. It seems that when we play only weekly rebalancing, we can be smarter only 52 times […]


The previous post showed an ANN with binary input and output . The input could be 0 or 1, the output could be 1 or -1. In this post, we do similarly, but with a non-binary, but still discrete case. The input is still the RUT %difference from its SMA(180). The distribution of the next […]