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--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS
<TSOKAKIS@xxxx>" <TSOKAKIS@xxxx> wrote:
> But, is there anything else than detailed optimization when a NN
> works ?
I just wanted to confirm that trading stocks not using data of those
stocks is an effective way of trading.
For what concerns neural network trading, the process to develop a NN
based trading system with AB is:
1) select your way to develop a neural network: there are a lot of
programs, libraries and so on.
2) the big work: you must select the correct network topology, a good set
of input and the desired output
3) train your network and test it with a crossvalidation set of data (in
other words, the network is trained with some data and tested with
another ones, so I're sure the performance are measured with data never
seen by the network)
4) build your network: a lot of programs creates a DLL
5) write a pluging for AB with ADK: I wrote a plugin that take data from
AB, pass them to the DLL which implements NN, take the output from NN and
pass it to AB
The final result is a simple AB function which take the inputs and
returns the output.
In attach, an example of the output:
"segnaleMIB30","segnaleMIBU","segnaleMIDEX"
are the outputs of the three networks
"segnale" with orange color is
segnale=0.3*segnaleMIB30+0.9*segnaleMIBU+0.3*segnaleMIDEX;
and segnale with red color is the signal: 1=long,
0=short
the trading system is:
Buy =
segnale>0.5
AND
NOT(segnaleMIB30==-1) AND NOT(segnaleMIBU==-1) AND NOT(segnaleMIDEX==-1);
Sell = segnale<0.5 AND NOT(segnaleMIB30==-1) AND NOT(segnaleMIBU==-1) AND NOT(segnaleMIDEX==-1);
Short=Sell;
Cover=Buy;
while segnaleMIB30,segnaleMIBU and segnaleMIDEX are:
segnaleMIBU=neural("D:\\AmiBroker\\neural DLL\\neural.DLL","D:\\AmiBroker\\neural DLL\\weightsfile",input1,input2,input3,input4,input5,input6,input7);
regards
Buttha
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Attachment:
NN.jpg
Attachment:
Description: "Description: JPEG image"
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