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> Has anybody managed to come up with tradable intra-day system using neural
> networks or fuzzy logic (for E-min S&P maybe).
I have read about 3 NN projects for index price prediction in the
literature, 2 of the 3 claim to have achieved profitability.
There is a person on the realtraders list that is using NNs.
Seems to me that he is always switching from one net to the other
based on what works this week. Not very confidence inspiring.
Many claim NNs are nothing but overoptimisation engines. IMHO
there is much truth in this, but it may not be such a bad thing.
I would be quite comfortable with an NN that required weekly
retraining (optimization) given sufficiently long term profitable
backtesting.
I can think of at least 10 others that have bought such software,
none of whom use it today. I know of no one using a successful
intraday system based on a NN.
Some time ago I came up with approx 8 data series that I was
pretty sure held important factors that influence prices
intraday. It seemed to me that tweezing the significant
relationships out of this data would take me months and was just
the kind of job neural nets should be good at. I bought BrainCel,
spent quite a bit of time reading up on neural nets, got
everything working, found out that the initial nets gave REALLY
bad signals and it would take several months of CPU time to
search for the best net (assuming I got the data representation
perfect first time, not bloody likely!). Some might claim genetic
optimisation can avoid this time constraint, but this approach
does not fully explore the solution space.
IMHO...
Garbage in - garbage out is a top level design issue for such
systems. Randomly applying indicators and expecting the software
to generate a profitable net is unlikely to work, no matter what
the vendors say. There is no free lunch in this business.
Data representation is a key issue. Be ready to put significant
time and effort into learning about this.
NN vendor's claims should be viewed the same as claims made by
trading system vendors. Make sure you get a money back trial
period for any software you buy. If you haven't developed NNs
before a 1 month trial period will not be long enough for you to
even get your feet on the ground.
regards,
tbr
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