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Strategies & Market Trends : Neural Nets - A tool for the 90's -- Ignore unavailable to you. Want to Upgrade?

To: Optim who wrote (739)	4/5/2000 11:21:00 AM
From: LastShadow	Respond to of 871

This thread is lightly posted, so I think we should give these posts a day more to get others input. No point in rushing anything, plus I have a lot of committments and I need to pace my time/contribution. I agree we should use it on an end-of-day basis, as that would have the widest use by others, and an intraday method is something one should graduate too rather than start at. Oil/gas I would like to stay away from due to the cyclical nature of it. Although for a sector roatation strategy say between Energy and Financial, that would be a good starting point, I think that requires more industry specific tailoring to the net, whereas that might cloud the generic experiment - just my thought though.

To: Optim who wrote (739)	4/5/2000 7:26:00 PM
From: xu, b.	Read Replies (1) \| Respond to of 871

Should we pick a single stock, a few stocks or an index or spyder? I vote for a set of stocks, just because I would want to determine fitness and eliminate spurious data by looking at the individual tickers rather than some masked reaction in an index or spyder, but thats just my vote This brings up another issue. In my testing, shorter periods of training data yeilds better profits, in sample and out of sample. I often worry about about overfitting the training data though. By using multiple stocks that have been screened to be relatively similar we can increase the amount of data out nets are exposed to, without increasing our training periods. Something that holds up across stocks will likely continue to hold up out of sample, and in realtime. Just my thought: Could we screen sectors with respect to SPX first? Then a second net will pick up strong stocks in the strong sectors. Spyder should be easier to predict compared to individual stocks or SPX. It's tradable. This is a bull model. Identification of trending vs. range trading is always important. I am very interesting in coming up with a valid shorting model or in another words, a bear model. Another important point is to make the system tradable. I know many systems are profitable on paper and practically impossible to trade. I vote for EOD models. Let me clarify what I said in my previous post. P/R should be the criteria for a good system. But it may not be necessary to use P/R as output of ANN to optimize. I have the impression that Profit may be able to do this sort of optimization. Tharp has a very good book on position sizing and expectancy. P/R is just another way of measuring expectancy of a system. In another words, how much you expect to make by risking 1 dollar. A number of trend following system has lower than 50% accuracy typically but they have positive expectancy because some big gains of small number of trades. Bai

To: Optim who wrote (739)	5/6/2000 7:01:00 PM
From: kenxx	Read Replies (1) \| Respond to of 871

Hi, I'm new to this thread, so pardon me if my question is not aimed at exactly the right place, but it seems that you can help. I am interested in applying NN technology to trading. I am about to purchase either Biocomp Profit or Neuroshell Trader and have been looking for users of these products to give me their feedback (regarding these two products). I noticed that you, Optim, have used both packages. I know they each have their own approach and that they may therefore compliment one another, but if you could buy only ONE of these packages, which would it be--Neuroshell Trader, or Biocomp Profit (regular versions of each, not pro)? And why? Anyone else who can also address this, please do so. Thanks!!! -- and I look forward to participating in this forum. Kenxx PS. For my platform, I use Metastock and Excel and something called the Chaos Data Analyzer (which applies a dozen or so tests used by chaos researchers to look for hidden structures within data series--it's very cool).