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My real-time neural network strategy enacted last Tuesday is up 9.7% vs.
2.2% return for the S&P 500 Index for the same period. The strategy uses
two leveraged mutual funds, Profunds' UltraBear (I go long this fund when
the neural network output suggests "Shorting" the S&P 500 Index) and
UltraBull (for neural network "Long" signals). The model's current
(1/29/1999) signal generated using Friday's S&P 500 close suggests a
continued long position (Neural Network Output = 0.8355). Although I
fine-tuned the long entry and exit points to 0.6 from 0.5 since last week,
the trades would have been the same under either approach. I am currently
somewhat dissatisfied with the model's "shorting" performance. Therefore,
I will be devising three models to eventually take the place of this one:
(1) a neural model used as an expert for "long entry/ short exit", (2) one
for "short entry / long exit" and (3) one for detecting non-trending market
periods. I have a very good "long entry / short exit" model which I will
be introducing this weekend to Real Traders and am working on the other
two. In the meantime, I will continue to trade and post the current model
until I become bored, suffer undue losses or decide to toss it into the
junk pile for any number of reasons. DO NOT trade the current model, as I
am not extremely confident in it. This is primarily an experiment in
uncovering weaknesses in the S&P 500 Index. - Brian
The current model chart and corresponding neural network prediction is
found at:
http://pweb.netcom.com/~blee3/spindex3.gif
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