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Thanks Ferreira,
I'll take a look.
Mormax.
----- Original Message -----
From: "MG Ferreira" <quant@xxxxxxxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Tuesday, May 03, 2005 7:34 AM
Subject: [EquisMetaStock Group] Re: Rules Management for Trading System
Hi Mormax,
I found it and uploaded it to
http://www.ferra4models.com
under the 'Kalman filter' subsection in the 'Models' section.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Mormax" <mormax_trader@xxxx>
wrote:
> 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@xxxx>
> 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
>
>
>
>
>
>
>
> Yahoo! Groups Links
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