Welcome back Dave. As you can see you're questions have led to some interesting discussion during your absence. Good luck with your relocation.
<Before investing, I like to see some evidence that the net that is built with the training process can actually continue to perform once new data is added.>
Who can argue with that?
<The preponderance of the points in the scatter plot should be on the diagonal, just as they should be for the training data alone.>
My experience has been that if the was a preponderence of buys during the verification period, then the larger convergence is on the buy intersection, etc.
<The downside of using a verification set is that you don't make full
use of your data for training the net. Therefore, if the dynamics of
the time series changes, it might be weeks before you notice it. >
True, not for training, but it still uses all the data through the last day of all the historical data for its predictions. Also, unless I'm mistaken, the volitility bars during the verification period are based on the out of sample predictions, so one can see instantly its accuracy. With no verification period set, these bars would instead indicate net fitness. Also, based on discussions of some that use other NN programs, a strong argument can be made for setting the training period 30-60 days back. They contend that it actually increases accuracy, and filters out "noise".
Dave, if you've had the time to browse some our recent discussions you've noted that we're playing around with s/t filter influence settings to attempt to coax Neuro into analysing and finding relationships between different price variances... any thoughts? |
