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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures
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To: Brian Hornby who wrote (15525)2/15/1999 10:55:00 AM
From: F Robert Simms  Read Replies (2) of 44573
 
BTW: Have you been trading the system and if so, how has it worked out with actual trading

I bought my neural net software (Profit) at the beginning of August. I seemed to be getting good models quickly so I bought an option on a lark. I kept making money, so it was hard to quit. In spite of making lots of newbie mistakes, I tripled my money until October. The market was oscillating a lot then. In October the market started trending. It took a while to get good trending models. I also tried to get better models by using Generalized Regression Neural Networks (GRNN's). They gave the best backtesting results, as they are a direct curve fit to back data. They would quickly fall apart when I used them. I gave up on them during the Christmas holidays. During this period I mostly broke even with my trades using my neural nets. This is also the same period when I started chatting with a big time option trader over the net. He trades up to $100,000 worth of options at a time. He claimed to have a string of 15 large wins in a row. I tried to piggyback on some of his trades and lost my shirt. He has had about 5 bad trades in a row. As an example I bought a call Dec 14 because of my nets near the low and that afternoon he bought puts. I closed my neural net trade at only about 40% profit and bought puts with him. I went against my nets then. You can guess the rest of the story. Over the holidays, I came up with a couple of nets that tested well and also remained well over November and December, which were out of sample. One of them fell apart quickly and the other one I still use. I broke even January still trading options..

Best Wishes,

Bob
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