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----- Message d'origine -----
De : Lawrence Chan <stnahc@xxxxxxxxx>
À : <omega-list@xxxxxxxxxx>
Envoyé : vendredi 4 février 2000 15:09
Objet : Fuzzy Logic NN etc. WAS: Rocket Science
> some thoughts on FL and NN,
>
> the results i have seen from fuzzy pete's postings based on
> his software have a few important characteristics,
>
> 1. win/loss % about 50/50, most likely < 50/50
> 2. the $ gain on average > 0, imply supposed positive return
> 3. all european mkts
>
> I have used a lot of NN / FL for research assistance ..
> so I think I understand the value of them ...
>
> My view is that implementing a trading system based on FL or NN
> with results like #1 and #2 will lead to bankrupcy.
No.
You make a student mistake.
Trades generated are not random and big trades are less frequent than smalls ( that are the 60% losers).
The sysem takes all the big moves and it is here where it makes money.
It has nothing to do with pure random flip coin like .
Trends are not random ,and it is what we detect , at the cost of small losses.
.
> #3 - european mkt - mkts dying, no real vol, and not mature.
> thus, they "trends" and no need of any "rocket science" to trade.
> breakout will do the job 90% of the time. THIS is understanding
> of the mkt by studying their properties first.
Please check the recet DAX 30 min futures, observe were the signals are, and do not tell
us about maturity and easy trends .
These markets are quite difficult to follow and are mature enough (50,000 contracts yesterday on this one)
>
> As a summary, the problem with FL and NN is generalization.
> And the concept of appropriate training of them has no
> standard to measure against.
This is the problem with all systems.
The one below has been trained on 2000- 3000 bars ONLY and tested on 100,000 bars, out of sample, 6 months ago.
The same system is used for CAC and DAx futures.
Sincerely,
-Pierre Orphelin
Neurofuzzy Logic tools for TradeStation
Free evaluation versions and competitive upgrades available
web: http://www.sirtrade.com
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