Neural Nets - A tool for the 90's Message Board

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Strategies & Market Trends : Neural Nets - A tool for the 90's

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To: Optim who wrote ()	1/26/1998 10:52:00 PM
From: Optim	Read Replies (1) of 871

Here is the results of a net that I am currently working on in NS Trader for trading the E-Mini S&P500 futures. I based it on the index instead of the contracts, with the intent of adjusting for contract volume later. Here goes: TRADING STRATEGY S&P 500 Stock Index (*SPX) Backtest 1/26/98 10:40:57 PM STATISTICS Performance Statistic All Trades Long Short Start Date 7/1/97 End Date 12/29/97 Beginning Price $ 891.020 Ending Price $ 953.360 Change in Price $ 62.340 Percent Change in Price 7.0% Annual Percent Change in Price 14.0% Return on Trades 44.1% 26.0% 18.1% Annual Return on Trades 88.4% 52.0% 36.4% Return on Account 42.6% 24.6% 18.1% Annual Return on Account 85.5% 49.3% 36.3% Net Profit $ 409.78 $ 236.06 $ 173.72 Gross Profit $ 485.60 $ 276.96 $ 208.64 Gross Loss $ 75.82 $ 40.90 $ 34.92 Ratio Gross Profit/Loss 6.40 6.77 5.97 Percent Profitable Trades 75.8% 76.5% 75.0% Number Trades 33 17 16 Number Winnning Trades 25 13 12 Number Losing Trades 8 4 4 Largest Winnning Trade Profit $ 73.70 $ 63.78 $ 73.70 Largest Losing Trade Loss $ 15.06 $ 15.06 $ 14.72 Average Trade Profit $ 12.42 $ 13.89 $ 10.86 Average Winnning Trade Profit $ 19.42 $ 21.30 $ 17.39 Average Losing Trade Loss $ 9.48 $ 10.23 $ 8.73 Ratio Avg Win/Avg Loss 2.05 2.08 1.99 Maximum Consecutive Winners 19 9 11 Maximum Consecutive Losers 3 1 3 Average Trade Span 5 bars 5 bars 4 bars Average Winning Trade Span 5 bars 6 bars 4 bars Average Losing Trade Span 4 bars 4 bars 3 bars Longest Trade Span 12 bars 12 bars 9 bars Longest Winning Trade Span 12 bars 12 bars 9 bars Longest Losing Trade Span 10 bars 10 bars 4 bars Largest Contracts Traded 1 1 1 Largest Winning Contracts Traded 1 1 1 Largest Losing Contracts Traded 1 1 1 Average Contracts Traded 1 1 1 Average Winning Contracts Traded 1 1 1 Average Losing Contracts Traded 1 1 1 Commissions Paid $ 0.00 $ 0.00 $ 0.00 Maximum Drawdown $ 25.50 $ 25.50 $ 22.68 Maximum Open Trade Drawdown $ 43.66 $ 43.66 $ 19.24 Required Account Size $ 960.86 $ 960.86 $ 960.86 TRADE BY TRADE Date Signal Contracts Fill Date Price Commission %Retu 7/1/97 Long Entry 1 7/2/97 $ 891.020 $ 0.00 7/2/97 Long Exit 1 7/3/97 $ 904.020 $ 0.00 1.5% 7/2/97 Short Entry 1 7/3/97 $ 904.020 $ 0.00 7/8/97 Short Exit 1 7/9/97 $ 918.740 $ 0.00 -1.6% 7/8/97 Long Entry 1 7/9/97 $ 918.740 $ 0.00 7/9/97 Long Exit 1 7/10/97 $ 907.540 $ 0.00 -1.2% 7/9/97 Short Entry 1 7/10/97 $ 907.540 $ 0.00 7/11/97 Short Exit 1 7/14/97 $ 916.680 $ 0.00 -1.0% 7/11/97 Long Entry 1 7/14/97 $ 916.680 $ 0.00 7/28/97 Long Exit 1 7/29/97 $ 936.440 $ 0.00 2.2% 7/28/97 Short Entry 1 7/29/97 $ 936.440 $ 0.00 7/29/97 Short Exit 1 7/30/97 $ 942.280 $ 0.00 -0.6% 7/29/97 Long Entry 1 7/30/97 $ 942.280 $ 0.00 8/1/97 Long Exit 1 8/4/97 $ 947.140 $ 0.00 0.5% 8/1/97 Short Entry 1 8/4/97 $ 947.140 $ 0.00 8/5/97 Short Exit 1 8/6/97 $ 952.360 $ 0.00 -0.6% 8/5/97 Long Entry 1 8/6/97 $ 952.360 $ 0.00 8/7/97 Long Exit 1 8/8/97 $ 951.180 $ 0.00 -0.1% 8/7/97 Short Entry 1 8/8/97 $ 951.180 $ 0.00 8/11/97 Short Exit 1 8/12/97 $ 937.000 $ 0.00 1.5% 8/11/97 Long Entry 1 8/12/97 $ 937.000 $ 0.00 8/22/97 Long Exit 1 8/25/97 $ 923.540 $ 0.00 -1.4% 8/22/97 Short Entry 1 8/25/97 $ 923.540 $ 0.00 8/27/97 Short Exit 1 8/28/97 $ 913.700 $ 0.00 1.1% 8/27/97 Long Entry 1 8/28/97 $ 913.700 $ 0.00 9/8/97 Long Exit 1 9/9/97 $ 931.200 $ 0.00 1.9% 9/8/97 Short Entry 1 9/9/97 $ 931.200 $ 0.00 9/11/97 Short Exit 1 9/12/97 $ 912.580 $ 0.00 2.0% 9/11/97 Long Entry 1 9/12/97 $ 912.580 $ 0.00 9/19/97 Long Exit 1 9/22/97 $ 950.500 $ 0.00 4.2% 9/19/97 Short Entry 1 9/22/97 $ 950.500 $ 0.00 9/25/97 Short Exit 1 9/26/97 $ 937.900 $ 0.00 1.3% 9/25/97 Long Entry 1 9/26/97 $ 937.900 $ 0.00 9/29/97 Long Exit 1 9/30/97 $ 953.340 $ 0.00 1.6% 9/29/97 Short Entry 1 9/30/97 $ 953.340 $ 0.00 9/30/97 Short Exit 1 10/1/97 $ 950.920 $ 0.00 0.3% 9/30/97 Long Entry 1 10/1/97 $ 950.920 $ 0.00 10/6/97 Long Exit 1 10/7/97 $ 972.680 $ 0.00 2.3% 10/6/97 Short Entry 1 10/7/97 $ 972.680 $ 0.00 10/14/97 Short Exit 1 10/15/97 $ 970.280 $ 0.00 0.2% 10/14/97 Long Entry 1 10/15/97 $ 970.280 $ 0.00 10/16/97 Long Exit 1 10/17/97 $ 955.220 $ 0.00 -1.6% 10/16/97 Short Entry 1 10/17/97 $ 955.220 $ 0.00 10/17/97 Short Exit 1 10/20/97 $ 944.160 $ 0.00 1.2% 10/17/97 Long Entry 1 10/20/97 $ 944.160 $ 0.00 10/23/97 Long Exit 1 10/24/97 $ 950.680 $ 0.00 0.7% 10/23/97 Short Entry 1 10/24/97 $ 950.680 $ 0.00 10/27/97 Short Exit 1 10/28/97 $ 876.980 $ 0.00 7.8% 10/27/97 Long Entry 1 10/28/97 $ 876.980 $ 0.00 11/4/97 Long Exit 1 11/5/97 $ 940.760 $ 0.00 7.3% 11/4/97 Short Entry 1 11/5/97 $ 940.760 $ 0.00 11/10/97 Short Exit 1 11/11/97 $ 921.120 $ 0.00 2.1% 11/10/97 Long Entry 1 11/11/97 $ 921.120 $ 0.00 11/20/97 Long Exit 1 11/21/97 $ 958.980 $ 0.00 4.1% 11/20/97 Short Entry 1 11/21/97 $ 958.980 $ 0.00 11/25/97 Short Exit 1 11/26/97 $ 950.820 $ 0.00 0.9% 11/25/97 Long Entry 1 11/26/97 $ 950.820 $ 0.00 12/1/97 Long Exit 1 12/2/97 $ 974.780 $ 0.00 2.5% 12/1/97 Short Entry 1 12/2/97 $ 974.780 $ 0.00 12/11/97 Short Exit 1 12/12/97 $ 954.940 $ 0.00 2.0% 12/11/97 Long Entry 1 12/12/97 $ 954.940 $ 0.00 12/18/97 Long Exit 1 12/19/97 $ 955.300 $ 0.00 0.0% 12/18/97 Short Entry 1 12/19/97 $ 955.300 $ 0.00 12/23/97 Short Exit 1 12/24/97 $ 939.120 $ 0.00 1.7% 12/23/97 Long Entry 1 12/24/97 $ 939.120 $ 0.00 12/29/97 Long Exit 1 12/29/97 $ 953.360 $ 0.00 1.5% As you can see, the net was on the right side of the trade for the Oct 27 'crash', and has been pretty consitent since then. It was trained on four years of data, and tested on the above six months out of sample. It's not quite there yet, as I have yet to add stop losses and fine tune the trading strategy. But it gives you an idea of what can be done... Optim

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