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The following NN based system ...
===================================
vars: Sum(0), NN(0);
Sum =
+ .1904762 * Close[5]
+ .047619 * Close[4]
- .0952381 * Close[3]
- .40476197 * Close[2]
- .0476191 * Close[1]
+ .3095237 * Close;
NN = 1 / (1 + ExpValue( -Sum )) - .5;
if NN > 0 then
Buy at Close
else if NN < 0 then
Sell at Close;
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... can be simplified by exploiting the fact that this one-cell net is a monotonically increasing function. Therefore you should get the same trading performance with this simplifed linear model...
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vars: Sum(0), NN(0);
Sum =
+ .1904762 * Close[5]
+ .047619 * Close[4]
- .0952381 * Close[3]
- .40476197 * Close[2]
- .0476191 * Close[1]
+ .3095237 * Close;
if sum > 0 then
Buy at Close
else if sum < 0 then
Sell at Close;
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- Mark Jurik
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