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The problem you have encountered is known as "over-fitting" the data. In
other words your NN learnt what data was in your training set, not what
the general predictive rules for that data set were. The question you
ask about whether the dynamics of the market changing in between you data
samples, although relevant, is much less likely to be the problem. If
you want to test for this, try running the NN as you would in real life -
ie: re-train it periodically as you simulate trading the "new" test data.
As for trying different NN packages - forget it, they all have basically
the same algorithms, which are simple enough to program yourself if you
can be bothered. What is much more important is the predictive nature of
the inputs, or indicators you are providing the NN, not to mention the
number of layers/nodes in your network.
Harold
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From: Frode L. Aschim[SMTP:faschim@xxxxxxxxxxxx]
Sent: Sunday, 15 March 1998 6:03
To: RealTraders Discussion Group
Subject: Neural Net - pro or against
Dear fellow list members,
I have been looking at Neural Nets for a while as I am trading a strong
cyclical market where the index we traded is very dependant upon a few of
its index components (they drive the market)
I have been looking at neural networks for quite some time and bought in
the end Neuroshell Trader from Ward Systems (http://www.wardsystems.com).
When I received the software I found it to be userfriendly and with few
bugs. It was installed easily and running my first prediction was a
breeze
since it read metastock files.
However, even though the predicted output was very good, when I added new
data that the network hadn't "seen" before, the predictions were much
less
accurate. There are a few ways to combat this, but it made me think if
neural networks would work in any market as the conditions change all the
time.
Does anyone has any opinion on this? Software suggestions (anyone tried
biocomp??) etc welcome.
Best greetings,
Frode L. Aschim
Email: frode@xxxxxxxxxx
Homepage: http://www.aschim.com
Thought of the day:
"Internet FFA brokers can do it on the spot, in the future,
physically, or virtually, depending on your
platform"
Barry Parker
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