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Profitable Neural Network Strategy


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Profitable Neural Network Strategy

  #31 (permalink)
Ranger
Port St Lucie, FL
 
Posts: 46 since Jan 2010
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bizman70 View Post
how long do you back test a strategy compare to the walk forward ratio - you mentioned that you do the back test for approx 2 months - what about the woralk forward

Hi Bizman - it's tough to nail down the exact ratio or even the data range period. We attempt to select an optimization range(training range) which is representative of all types of market conditions leaving the balance of the data range to feed forward(validation). Please note that we consider CH results as preliminary; we further evaluate the model from with TS/MC & NT.

Reference the screenshots:

1 - Data Range 30May10 - 7Nov10 Training = 64% / Validation = 36%
2 - User can select other ranges
3&4 - CH in training, note 8 processors sharing the load;

I've read at least a hundred articles on neural networks and everyone has an opinion on what type of data to feed the model; pre-processing; post processing; etc ... it's more of an art than a science, so it seems.

While we haven't even scratched the surface on model building we have some good ideas on employing and monitoring model performance.

RANGER

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  #32 (permalink)
Ranger
Port St Lucie, FL
 
Posts: 46 since Jan 2010
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tortexal View Post
if its 5k and 2.5 per week, for the month the amount you're willing to lose regardless if you turn the system off or not is $20,000 and $10,000 per month. initial margin on a mini is what 5600? This in turn means you are willing to take a 357% and 178% loss on margin per month per contract. Definitely something i would NOT run with my money... nor would i take that risk playing poker

if i were a client and you were running money for me, i would NOT want turning the system on off mid month to be at your descression. that should be pre defined within system rules to eliminate human error.


if you are using markets orders, you have ZERO way of forecasting how many times they will get filled at the last price vs above or below for short or long. NONE. If you use lmt orders you can then get away from including slippage. Its also not a $25 penalty per trade, its 12.50 per trade and 25 per round turn. And it does NOT penalize the performance. it make the performance more realistic and conservative. you STILL have the possibity of having more or less slippage even when you include it in your testing. What if you get stopped out during an FOMC statement? You think there will not be any slippage in there?

as far as compiling the code, i cant:
line 136: _HWT = (HaarWT(jtHMA(Close,3),4,2,FALSE)/10);
jtHMA isnt defined anywhere as far as i can tell

///tortexal - try the NN_TRIX strategy first. We modified the NWA_ES to clamp the predicted output. We have not posted the revised code due to lack of interest.

RANGER

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  #33 (permalink)
tortexal
Panama!
 
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zacharydw00 View Post
3) From the screen shots, please follow the setup with particular attention to the DATE RANGE for the data set. The date range is important because variables are initialized in the strategy by a start bar. First bar = 09/26/2010 18:05 EST.

can you post you strat inputs for this time period? this is for the NWA_ES_R3a system. I ran an optimization from 9/26 to now, then looked at performance from 1/1/2008 and its straight off a cliff. i probably do not have the right inputs

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  #34 (permalink)
Ranger
Port St Lucie, FL
 
Posts: 46 since Jan 2010
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Here you go friend, this is the latest version of the strategy.

Open the text document;
Select ALL
Copy
Paste into new TS/MC Strategy
Compile
Insert Strategy into 5Min ES chart

Don't modify any of the settings.

If you have any issues, please let us know.

RANGER

Attached Files
Elite Membership required to download: NWA_ES_R3b(Strategy).txt
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  #35 (permalink)
tortexal
Panama!
 
Posts: 44 since Jun 2009
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Here's performance w slippage going back to 1/1/2008. As you can see, the use of mkt orders and not accounting for even 1 tick in slippage completely destroys the strat, which is an enormous problem. a non HFT robust system should take into consideration mkt ineficiencies when filling orders. A recomendation here is to reoptimize your sample period with slippage included. as someone who runs client money on automated systems, i have never seen a market order fill without incurring slippage in any market in any vehicle. 100% chance you will have slippage in order mkt orders. that being said it is unreasonable to not control the controlables when building a system.

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  #36 (permalink)
tortexal
Panama!
 
Posts: 44 since Jun 2009
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Then to refute the previous statement that stops and profit targets only hurts performance, below are the exact same settings as above but with basic money management:

As you can see, you go from losing $38,000 to losing roughly 300 bucks. Quite the improvement even on a poor performing system

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  #37 (permalink)
 
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 Big Mike 
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@tortexal,

You went from 2800 trades to 800, I would be concerned of over curve fitting especially on a 3-year backtest with only 800 trades.

I've not looked at the strategy itself, just your last two posts.

Mike

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  #38 (permalink)
tortexal
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Have to know when to walk from the table.

That aside, we already know the system is anything but robust.

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  #39 (permalink)
 
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 zacharydw00 
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tortexal View Post
Then to refute the previous statement that stops and profit targets only hurts performance, below are the exact same settings as above but with basic money management:
As you can see, you go from losing $38,000 to losing roughly 300 bucks. Quite the improvement even on a poor performing system

Would you mind sharing(or at least describe) what is blacked out in image 4. Thx.

Milk-a-What?
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  #40 (permalink)
tortexal
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zacharydw00 View Post
Would you mind sharing(or at least describe) what is blacked out in image 4. Thx.


When planning a trip to vegas, it is best to have some kind of strategy in sofar as when to get up and leave the hold em table. I leave for two reasons. 1: to keep my winnings 2: to prevent me from going on tilt

tables have a min buy in amount. many people use the rule of thumb of having a minimum of X # of big blinds in chips. When they drop below X, they leave. The inverse is that if im able to chip up X% of my buy in, i also leave.

mkts are no different, especially when it comes to auto trading systems. So the reason the stats reflect taking less trades is because im simply leaving the table after running out of chips, or making a good amount vs my buy in.

if you dont play poker now, i reco you do

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