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In response to the question regarding neural networks, I am about one to
seven days away from regularly posting on Real Traders the results of a
weekly S&P 500 neural model I completed this weekend after over a month's
worth of work. Its goal is to capture long-turn trending periods. Its
ability to nail the most recent intermediate high and most recent trough to
the exact week for accurate turning points is uncanny. The cumulative
return for the Buy/Hold strategy is 85.9% and the network's is 139.2% for
the comparable 2.75-year test period beginning 3/15/96. My model actually
ends predicting on 11/27/98 as seen on the accompanying chart. As seen in
chart, a total of 12 trades were initiated since 3/15/96, resulting in 11
winners and only one losing trade of 5% of equity. The coming week will
allow me the effort I need to get the model's data and predictions current.
I plan to go commercial with an improved upon model in the next 3-6 months
on a new web site along with some other predicted markets, so my inputs are
therefore proprietary. Once on the web, I will continue to post free
weekly predictions and comparisons to the S&P 500 Index so that people can
gain confidence in the model's ability prior to my offering subscription
services. I will continue to post results to Real Traders during that time
as well. If anyone is interested in seeing the actual weekly data forecasts
of the neural network back to its test period commencement (3/15/96), I
will be glad to provide that on an Excel spreadsheet. - Brian Lee
P.S. Since my chart slightly exceeds the memory limit that Real Traders
server will accept, I will send it directly to anyone who asks.
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