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----- Message d'origine -----
De : Bilo Selhi <citadel@xxxxxxxxxxxx>
À : pierre.orphelin <pierre.orphelin@xxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Envoyé : samedi 19 août 2000 02:31
Objet : Re: Re: Fuzzy Logic vs. System Dynamics
> ai / nn trading toolboxes galore here they come:
>
> there is also a magazine:
> http://ourworld.compuserve.com/homepages/ftpub/jcif.htm
>
Unfortunately discontinued ( Journal of Computational Intelligence in Finance formerly Neurove$t Journal).
I have the complete collection, and they still have back issues I suppose.
Very methematically oriented.
Mark Jurik has been a first time contributor.
> also check this out for NFL links that has it all:
> http://elve.le.ttu.ee/parveto_www_home/MESEL/R&D/NEUROFUZ/RESSOURC.HTM
>
> Pierre,
> i am still evaluating your package... so i can not comment
> on it.
>
Plase do...
> *my favorite is this tool:
> www.sdi-inc.com link is out they might have moved or down
> if someone could let me know if they moved.
> anyway, it's ga based app called E.
> you give it a set of price data and a set of inputs ( price derivatives or
> indicators ) and you let it run. it trains based on max profit and
> when it's done and found the best solution it outputs:
> - variables
> - functions
> - rules!
> now, that's something, especially rules...
> now if you explore it long enough you can find some rules that could
> point you to a theoretical solution...
> also you can code those rules right into TS. ie the program finds the
> best rules, variables and functions for you...
> the tool is still in it's infancy but - what a tool and what a concept!!!
> smoking... this is what research should be...
> they call it "stock trader scoring" ie. each hypothetical trader is evolved
> based on the amount of money "he" accumulates. when the best trader
> ( solution ) is found - it spits out the rules by which the most money was
> made...
> it's used now in chemical engineering, electronic circuit design, etc.
> f...king thing can generate a complex circuit based on desired input and
> output
> without human interference just by using a set of available basic circuits
> ( set of available functions ). what a concept... what a tool...
> bilo.
In 1994 we have developped such a tool ( Galvano) for TS.
Was able to code plain easy language rules from a powerful GA.
See an example below.
5000 g,n,rations(/g), 2350 chromosomes(/c). 1 famille(/f)
³Hybr(/h):29.9% Mut(/m):19.4% Inv.Pt(/p):19.4% Inv.Ch(/s):9.7% Lamarck(/l):1.2%
³Eug,nisme(/e):N Intensit, s,l.(/i):6.0 Hybr XOR Ops(/o) Equil. auto(/q)
³CopieS,l.(/0):O Op.S,l.(/1):N Hybr.S,l.(/2):O TxOps(/3):80% HybMini(/4):30%
ÀTemps maxi(/t):0s Info toutes les 20s(/d). 1 chr=66 octets. 413kO,reste 640
GABRF-15 rSgles(/x) (35b). Formulation(/y):3.
Classe voulue(/w):"S-1", 7 entr,es, Mode rapide(/+), base(/=)=0.50,
zoom(/==)=1.00. Noter sur taux de recl(/$0). Equilibrage(/*). D,tailler les
mouvements dans le fichier(/DO). D,tailler les mouvements dans le systSme
obtenu(/DR).
time = (time - 905.0) / 695.0 ;
fractal1 = fractal1 / 80.50130 ;
fractal2 = (fractal2 - 19.47360) / 49.07380 ;
adx = (adx - 9.74940) / 51.49630 ;
Dmi+ = (Dmi+ - 3.00370) / 65.97780 ;
dmiminus = (dmiminus - 2.08490) / 70.01820 ;
volume = (volume - -87.07890) / 165.45780 ;
IF (fractal1 - 0.12) < (adx + volume) AND
( (0.56 + 0.56) < (0.56 * 0.64) OR
(adx - 0.10) < (adx + time)) AND
(0.73 + 0.02) < (fractal2 + 0.49) AND
(Dmi+ * 0.37) < (0.17 * 0.76) OR
( ( (adx - time) > (dmiminus - 0.00) OR
(0.27 - 0.56) > (0.20 + 0.59)))
THEN S-1
ELSE S1
Strange rules, I know, but the thing was able to do more ( if cos( dmi)+7.3654 >squareroot(volatility) AND....OR
Very funny and was perfectly working on training data.
Generalization was not so good than with NFL but quite acceptable.
The same program had a GA scorecard and a multidimentional no layer NN ( all cells connected in 3D, like in a true brain).
All of this was running in TS3, TS4, all of this trained by GA, and producing trading systems.
The GA had the latest features ( evolved several families in parallel, exotics GA operator, and very fast - was a DOS program)
The programmer was probably a genius, but very difficult to live , so I gave up in 1994 and started to work with JewelSoft.
Here is a scorecard system by GA
(Sorry this version was speaking french, but there was also an english version, but I have lost the results files).
No guarantee for ths system provided here.
I do not remember of the results. It's only past history for me.
3040 chromosomes(/c), 50000 g,n,rations maxi(/g). 1 famille(/f)
ÀTemps maxi(/t):0.0 secondes Information toutes les 10.0 s(/d) Stop . 120:Non
ÚEquilibrer les taux(/q):Oui, les sites(/n):Non. /NonZero:Oui, 3 essais
³Ajuster le taux d'hybr.(/qh):Oui. Taux maxi permis(/OLim):0.40.
³Ajuster le taux total(/OVar):mode On stats, G1.5(/QG).
³Elitisme(/Eli):Oui Eug,nisme(/Eug):Non Intensit, de la s,lection(/i):2.5
³Biaiser: Copie(/BsC):Oui Hybridation(/BsH):Oui Autres Op,rateurs(/BsO):Oui
ÀTaux d'Op,rations(/OMin,/OMax):20-90% Hybr.mini(/HMin):15% Hybr XOR Ops(/o).
M,moire utilis,e: 534kO, reste 640 disponibles. 1 chromosome=70 octets.
Galvano Score - Pond,ration Maxi=171, 6 plages(/y) (variable, /z). Seuil
mobile(/#).
Classe voulue(/w):"S-1", 7 entr,es, Mode rapide(/+), Taux ou gain minimum
admis(/mini)=0.50, facteur de zoom des justesses(/zoom)=1.0.
Noter sur taux de reclassement(/$0). Equilibrage de S-1 et S1(/*). D,p"t:1.000
(/dep).
Fitness limite: 128(best_perf=0.82) (gic_limite_reclass=0.76)
NbOK Voulu Appr: 886QF+1475NF N708/937, Q302/400 Test: 0QF+0NF N79/105,
Q79/105
Justesses:Mini=0 Modale=153 (153) Moy=124.3 Maxi=158 (G6, Sat=0.61).
Taux: Hybr(/H):9.4% Mut(/M):17.6% Inv.Pt.(/P):21.4% Inv.Ch.(/S):6.0%
Lam.(/L):6.1% Simplex(/Bers):2.4% - Total:63.0
Tapez "GASCF ?" sous DOS pour des d,tails sur toutes les options.
Grille de score nø 1
Seuil: 654.0
time Bornes: 905.0 1010.3 1600.0
Points: 18.8 112.0
fractal1 Bornes: 0.00000 24.26066 41.90478 59.54890 80.50130
Points: 85.2 58.3 2.7 103.9
fractal2 Bornes: 19.47360 32.55995 68.54740
Points: 37.6 126.1
adx Bornes: 9.74940 17.58579 33.25858 42.21446 46.13266 61.24570
Points: 152.2 125.4 106.6 134.8 171.0
Dmi+ Bornes: 3.00370 4.16121 24.99630 36.57135 68.98150
Points: 142.8 125.4 2.0 15.4
dmiminus Bornes: 2.08490 24.36342 25.95474 29.13739 59.37252 72.10310
Points: 75.8 77.8 60.4 105.3 113.3
volume Bornes: -87.07890 15.01208 18.53246 78.37890
Points: 117.4 140.2 44.3
S,lection des "S-1".
----------R,sultats du test sur gbrdemo.lnf: 81.6 %
Pr,dictions correctes et incorrectes:
Nombre de "S-1" bien pr,dits: 234
Nombre de "S1" bien pr,dits: 520
Nombre de "S-1" mal pr,dits: 43
Nombre de "S1" mal pr,dits: 140
Sincerely,
-Pierre Orphelin
web: http://www.sirtrade.com
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