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

To: Carl R. who wrote (581)	5/6/1999 12:08:00 AM
From: Brian Hornby	Read Replies (1) \| Respond to of 871

Carl, thanks for your input. I think we had this same conversation last time I posted. The trades line up exactly with the signals, by definition. This is a computer program that sets buy and sell signals when signals cross thresholds. My thresholds are not exactly zero. Worth noting that when thresholds are crossed, the signal is for the next day, not the day of the signal. Hence there is a 1 day lag, perhaps that is what is bothering you. I find optimized levels perform better than non-optimized, though there is not a big difference. I also found the optimized levels to be more consistent with the equity surface "sweet spot" and so am happier using those. Optimization is done only on the in-sample (pre-Nov 20) data, as I state. BTW. There is no optimization on the meta model...