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Strategies & Market Trends : NeuroStock
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To: Len Giammetta who wrote (355)11/7/1998 12:25:00 PM
From: Len Giammetta  Read Replies (1) of 805
 
To all, have begun work on an accurate model for a small cap index. In the past I tried modelling WSX and RUT with disappointing results. I could not get a good convergence. I made an assumption that this occured because the prices were so high. At any rate I decided to try using mutual fund index funds for my target and relateds. My target is NAESX which is a Van Gaurd small cap index fund that trades in tandem with both the RUT and WSX (although slightly underperforms). My relateds are S & P, European small cap, and Asian small cap index funds. I'm using l/t and s/t filters on the target and the relateds and training at very aggressive with only 10 neurons ( so far). At this point the net is converging much better than the actual index net had, and the verify look accurate. The one thing that I wonder about is how the lack of high and low price fluctuations are going to affect the model. More later.

Hope you all had a very profitable week.
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