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Pierre is offering a free trial version of
> *MEM also known as maximum entropy methos (or spectrum analysis). (Full code
> with power spectrum)
Our full free version of MEM / MESA without the Periodogram (which
I found useless) is now available on our website.
http://www.tickscape.com
goto download
Gerrit
> *Lomb Periodogram
> *FFT Filtering
> *Point & Figure DLL with variable inputs (allow variable Pt &Figures)
> *Long term overlay profiles DLL (peaks and valleys automatic detection)
> *Market Profile
>
> Second, we are polishing the neurofuzzy thing Version 2.0 (alpha). A
> free evaluation version will be available too.
>
> Third, and only to break your nerves, here is a copy of the latest
> review of the nuttyfuzzy thing published in Futures and Options
> World Magazine (August 1998 Issue -by Andrew Webb).
>
> And do not claim for the wild advertising and netiquette outrage:
> This is the price to pay to recover from the damages produced by
> your infamous message on this list.
>
> Do not bother NATO and UN for this unfair publishing.
> They have a lot of work to do on this planet before solving for the
> frog case.
>
> Enjoy or delete!
>
> Regards...
>
> Pierre Orphelin
> http://www.sirtrade.com
>
> ==============
> Warning:
> Wild ad starts here:
> ==============
>
>
> SUIT US, SIR
>
> Sirtrade International has come up with a
> unique, trader-friendly way of combining
> the Power of Neural Nets with the
> sophistication of Fuzzy Logic,
> Andrew Webb Reports.
>
>
> For the trader hunting for a new trading methodology, artificial
> intelligence techniques have a particular allure. The concept of
> your artificial expert tirelessly perusing a great mound of data,
> identifying subtle relationships that would defeat the perception
> and stamina of a human equivalent is undeniably attractive.
> Unfortunately, though the situation has much improved in recent
> years, the snag with these techniques has been that many of the
> available packages were rather less than trader friendly. Hours of
> pre-processing data and grappling with a user-hostile interface soon
> exhausted the limited attention span of the trader and saw the
> concept (and software) swiftly consigned to the shelf or bin.
>
> Pierre Orphelin of SirTrade International in Paris appears to have
> taken these problems very much to heart when designing the company's
> SirTrade neurofuzzy (a combination of neural net and fuzzy logic)
> trading application and its accompanying Assistant for Expert
> Traders. The two packages interact to allow the trader to develop
> neurofuzzy trading systems that can be used (and even retrained) in
> real time in Omega's TradeStation. The only significant requirements
> on the user's part are a good understanding of technical analysis
> and more than a passing acquaintance with TradeStation's Easy
> Language and Power Editor.
>
> In view of the significant amount of processing power that the
> Assistant's training routines require, Orphelin recommends that the
> two programs be ideally run on separate machines to prevent
> interference with real time data flow via the comports. However, I
> encountered no difficulties running both applications on a Pentium
> Pro 200 with 128MB of RAM.
>
> The first step is to produce some suitable data that can be used in
> training. This is accomplished in TradeStation using a template
> indicator supplied by SirTrade (that also includes a number of
> popular technical analysis indicators) and printing the output to an
> ASCII file. By modifying the Easy Language code you can include any
> selection of technical indicators that you feel are of predictive
> value. Apart from the numerical output of the selected indicators
> for each period, the ASCII data file (referred to as a TSD file)
> also contains a target value that would trigger a trading signal for
> the indicator and the difference between the closing price of each
> time interval and its predecessor.
>
> Once the ASCII file has been produced, one switches to the separate
> Assistant program for the training routine. When starting the
> Assistant, the first window displayed is the journal file, which
> records the results of all activities undertaken during operation.
> As a tool for debugging any training problems it is invaluable.
> Selecting "File: New" from the menu bar and selecting "Fuzzy
> Description Files" from the ensuing pop up menu opens the Command
> window from which the ASCII file is selected and loaded. The window
> also allows the user to specify a wide range of training parameters.
> These include some very "real world" applications, such as the
> ability to generate additional synthetic price bars and reinforce
> training under difficult (but vital) market conditions such as the
> beginning and end of a trend. You can also specify how much of the
> available data is to be used for training and how much for out of
> sample testing - the default is a fifty-fifty split.
>
> Having loaded the data file, the next step is to define the fuzzy
> description settings for the data that will be used during training.
> This consists of defining the min and max numerical values for each
> indicator (the software fills these in automatically after scanning
> the file, but you can change them if you wish) and specifying the
> desired number of fuzzy sets. To ensure effective training, this
> last should be set to at least the minimum number of different
> "states" that the indicator can be in. Orphelin uses the RSI
> (Relative Strength Index) as an example that has three states -
> overbought, neutral, oversold).
>
> After completing this stage, two new windows appear on screen; a
> Target Performance Summary and a Performance Summary. The former
> contains details of the hypothetical best results that could be
> achieved on the data set, while the latter will display performance
> results for training and test runs. The detailed performance
> analysis available here goes way beyond any other trading system
> analysis that I have seen to date.
>
> Having specified such parameters as how many iterations the software
> should make through the data and the training method (both back
> propagation and stochastic are available), hitting the "Train"
> command button sets the ball rolling. There must be some well
> optimised code underlying the Assistant as even training large,
> complex data sets with a large number of iterations selected didn't
> seem to take long. (A great deal faster than some neural networks I
> have tested!) After training is complete, an equity curve is
> displayed, complete with buy/sell signals and price bars.
>
> However, probably the most potent command in SirTrade is "Explore",
> which examines multiple fuzzy sets to find the best performer for a
> given set of indicators. You realise just how much time that this is
> saving you as you watch the Journal window's scroll bar go berserk
> and multiple equity curves and performance reports flash before your
> eyes! Having selected the top performing FIS (Fuzzy Inference
> System), it can be further refined with additional training sessions
> or saved as an FZB file for use in TradeStation.
>
> Having saved the file, TradeStation's Power Editor is again used
> with another template file provided with SirTrade to complete the
> new trading system. At its simplest this consists of little more
> than specifying the path to the FZB file. Load the trading system to
> a TradeStation real time chart and away you go!
>
> However, SirTrade offers you a lot more than just this. Using
> templates provided, you can specify a trading systems that
> references two or more FZB files and Fuzzy Inference Systems. You
> could, for example, specify and train FISs for trending and
> non-trending conditions and then specify a trigger switch that will
> automatically flip the trading system between them. If you want to
> be really smart, train multiple FISs and trigger trading signals
> based on their "voting" consensus.
>
> All this in itself is impressive enough, but Orphelin pushes the
> technology to the limit by also allowing real time retraining of
> FISs from within TradeStation, so the your system's expertise can be
> based on the most recent market price action. You can specify how
> many price bars elapse before retraining takes place (the default is
> five). Alternatively you can specify conditions that will initiate
> retraining. The example provided with SirTrade uses the ADX
> indicator falling below a value of 15, which implies a non-trending
> market that will need more self adaptation than a trending one.
>
> In brief, this is the most impressive application of artificial
> intelligence techniques to trading that I have seen to date. The
> power and flexibility are impressive with pretty much every angle
> covered. Orphelin has clearly focused on developing a product that
> will get you quickly up and running with a viable trading system -
> not bogged down in side issues and data pre-processing. Though the
> performance results I achieved over the test period were anecdotal
> rather than rigorous, they were nevertheless extremely impressive.
> The methods contained in SirTrade are clearly viable. My only real
> criticisms are of the manual and help files, which are in the most
> exquisitely tortured English! Unravelling the ruptured syntax does
> make learning the ropes more long winded than necessary. That aside,
> this is an extremely well planned and effective product.
>
Gerrit Jacobsen
http://www.tickscape.com
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