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Ferreira,
If u find it, i'm interested too.
I'm making kind a research about the theme.
Thanks.
MORMAX [<0>]
----- Original Message -----
From: "MG Ferreira" <quant@xxxxxxxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Saturday, March 19, 2005 2:11 AM
Subject: [EquisMetaStock Group] Re: Rules Management for Trading System
Hi there,
I am working on it - sort of. Years ago I wrote an introductory
article on the Kalman filter. It was never finished or published and
has a few known bugs in it, but was later on bought by a trader who
wanted to get to know the Kalman filter! I've upgraded computers so
many times since I fear the piece may be lost somewhere in digital
oblivion, but will upload it somewhere as soon as I find it. It gives
a market oriented intro to the Kalman filter, all the formulas and a
few examples.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, khamsina11 <Khamsina11@xxxx> wrote:
>
> Hi MG,
>
> Might you post a MS code of the Kalman filter ?
>
> Regards,
>
> Marco
>
>
>
> MG Ferreira a écrit :
>
> >Just note! The stuff I gave is not the 'official' Kalman filter
> >and will probably be frowned upon by say a NASA engineer. But it
> >is something similar and we use such devices in our own work. We
> >sometimes also smooth the weights, so that one formula
> >
> > w1 = w1 + ...
> >
> >becomes
> >
> > w1 = 0.9 * w1 + 0.1 * ( w1 + ... )
> >
> >and we play around with the 0.9 amd 0.1 They should always sum to
> >1, and the higher the 0.9, the more smooth the weights will be. This
> >is just an exponential moving average....
> >
> >For the rest, see below.
> >
> >
> >
> >>I am interested on Kalman filter too, in term of training periods
> >>for the net, do you have any suggestion on how to determine the
> >>length of periods? If the period is too long, then could it be
> >>overtrained? If I can determine it, then the periods for rescaling
> >>based on HHV(Abs(S),periods) could be found, will it be a good
> >>approach?
> >>
> >>
> >
> >OK, we are not really training a net here, and even if we were, it
> >is arbitrary. Also see my comment on the next one. I suggest you
> >plot your indicator and visually inspect it. If it makes cycles,
> >see how long it takes to make one full cycle. Hopefully it is not
> >several years, but say 1 or 0.5 years. Then pick a period that will
> >contain three of the previous cycles, say 3 or 1.5 years, and use
> >that. This is a long time, but we are only using it in the rescaling,
> >so it should not be too much of a problem.
> >
> >
> >
> >>I remember someone mentioned the ratio for period between training
> >>and out of sample should be following
> >>Training periods: 8
> >>Out of Sample periods: 1
> >>But he never mentioned about the rationale, and used it as a rule of
> >>thumb, do you have any idea?
> >>
> >>
> >
> >This is arbitrary. A real good, theoretical way to do this, is to
> >split the sample in ten periods. Then randomly choose 9, train it
> >on those 9, and test it on the rest. Now choose randomly a different
> >9 sections, train and test on the remaining 1 and so on. It takes
> >forever to do something like this and we've used it only rarely, but
> >it will make your Prof very happy! We more often use 20, 10 or even
> >the last 5%, depending on the length of data. The more data we have,
> >the more we can cut off to test on. But it is arbitrary. Again,
> >eyeball the data, and if it has a nice, complete cycle or two in the
> >last say 10%, then you can use that to test and you will get a good
> >feel for how it will do in real life.
> >
> >
> >
> >>According to your Message 16564, I have search for Woodes Rogers on
> >>library and amazon, and found a book called "The speculative
> >>strategist", which did mention about Woodes Rogers' approach, but it
> >>is too brief, does it the one you read?
> >>
> >>
> >
> >That is the book!
> >
> >
> >
> >>I think I need a few days to digest Kalman filter and to do some
> >>coding on it, and will reply to this topic soon under the same
> >>subject title
> >>
> >>
> >
> >Again, those formulas may have bugs in them. So rather try to graph
> >the ideas they embody and then you can use them as guides to implement
> >your own. I look forward to hear from you!
> >
> >
> >
> >>Thank you :>
> >>Eric
> >>
> >>
> >
> >No problem!
> >
> >Regards
> >MG Ferreira
> >TsaTsa EOD Programmer and trading model builder
> >http://www.ferra4models.com
> >http://fun.ferra4models.com
> >
> >
> >
> >
> >
> >
> >
> >
> >Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
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