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If the object is to show how to create a generic net and then finesse it to the specific secotr or stocks, then a more robust example would be to use a dozen stocks with one from eah major industry. The performance of the net will then tell you if your initial characteristic set and pattern discrimination method is better suited to one or another.
Good point. Let's keep this objective.
First thing first, let's agree on stocks. I propose to pick 3 from semi and 3 from bio. To make it generic, Could we pick one for large cap, one for mid-cap and one for small cap each.
Here is the matrix looks like:
Semi Bio
Large 1 1
Mid 1 1
Small 1 1
I don't care which particular stock. But let's agree that we want to compare with sector indices AND/or SPX. We should have some funs with lag/lead among the same group as Dan suggested.
Secondly, output? Do we use Ruggerio's suggestion in his book? Or you guys prefer another one. I leave that to you since you guys are much more experienced than I am with the nets.
Thirdly, inputs? SPX, SOX, XCI, (maybe a Taiwan semi index as they have the largest foundries? I have no clue where to get it easily), OBV, AMA, SD or ATR or (H-L)/C. I leave transforms to you two Last and Dan if you would agree. add some? take some away?
Forth, Net structure. I only have access to BP. Let me know which one gives best results and how to compare the results. I can help evaluate results.
I have no problem with frequent retraining. What else missing? |
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