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<DIV><FONT color=#000000 size=2>Based on several of the comments and questions I
received based on my post yesterday, I'm going to attempt to address as many
questions as I can in this post. I use a product called Profit by BioComp
Systems to develop my models. Visit <A
href="http://www.biocompsystems.com";>http://www.biocompsystems.com</A> if you
want to learn more about their products. I'm in no way affiliated with
them except that I have been a customer of theirs for about one year and now use
their neural products in my work as well (non financial aplications).
</FONT><FONT color=#000000 size=2>My models are in the market 100% of the time
and trade on the following day's open based on neural signals generated the
night before. The neural signals are updated each night with the current
day's data. The models do not try to pick each up and down day, rather
they try to capture short-term market trends. This is more a function of
my modeled output than anything. The models assume $100 per trade for
commissions and slippage. The <FONT color=#008000 face=Arial size=2><FONT
color=#008000 face=Arial size=2><STRONG>green</STRONG></FONT> </FONT>dots on the
price chart indicate a day when the model shifted from a short to a long
position. Conversely, a <FONT color=#ff0000 face=Arial size=2><STRONG>red
</STRONG></FONT>dot indicates a day where the model shifted from a long to a
short position at that day's opening price. The <FONT color=#000000
face=Arial size=2>yellow </FONT>line running through the price data is nothing
more than a simple 5-day moving average (SMA) of the closing prices. I
added that as a visual tool for myself and it has nothing to do with the models
themselves (other than the fact that some of the 5 system models use the daily
change in the 5-day SMA as a model input). The output of the neural model
is shown in the middle section of the chart. It appears as an osillator
moving between -1.0 and +1.0. A new long (short) position is indicated
when the signal moves from below (above) the zero (0) line to above (below) it
(this is when you see a green (red) dot at the next day's open). The system
model, which I will post shortly, has a signal that oscillates between -5 and +5
since there are 5 total models and the system model uses a voting process to
generate its signal. The system model's signal doesn't look like the
posted model's sine wave pattern, but the initiation of a long or short position
is generated the same way (crossing the zero line). The system model may
stay at zero for several days, but only when it <U><FONT color=#000000
face=Arial size=2>crosses</FONT></U> the zero line is a new position
taken. I do not plan on posting the models' updated signals each day other
than for my own trading. My hope is that this will spark an interest in
others to look into neural nets as a possible trading aid. My apologies
for referring to my "web page." Since I'm not into generating
web pages as we all know and love them, I will simply be posting nonlinked gifs.
Hope this at least addresses most of the responses I received. -
Brian</FONT></DIV></BODY></HTML>
</x-html>From ???@??? Fri Jan 21 18:11:12 2000
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<realtraders@xxxxxxxxxxxxxxx>
References: <NDBBJDGFKDOOCOMFKPBHMEBICDAA.mknapp@xxxxxxxxxxxxxx>
Subject: [RT] Re: GEN: YIELD CURVE
Date: Fri, 21 Jan 2000 20:53:44 -0500
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Status:
Hang on a second. 3-year bills are not above the 30Y! It is not even
close. The 10Y now trades over bonds, and the 5Y is nearby. But
remember, there is also a lot less supply of the 30Y these days.
---
Steven W. Poser, President
Poser Global Market Strategies Inc.
url: http://www.poserglobal.com
email: swp@xxxxxxxxxxxxxxx
Tel: 201-995-0845
Fax: 201-995-0846
----- Original Message -----
From: <mknapp@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Friday, January 21, 2000 7:12 PM
Subject: [RT] Re: GEN: YIELD CURVE
> RT-er's,
>
> I am not ruling out a recession, but their may be other reasons as to
why
> the yield curve has inverted. A decent contributor to this particular
> occurrence seems to be supply. The treasuries buy back program is
> inadequate and the plan seems to have let fixed income players know
that the
> treasury has no credible way of dealing with the supply issue. The
Fed's
> clarification of their bias statement did nothing to quell fears of
them
> falling "behind the curve" either. The increase in the 10y t-note
> volatility could be a confirmation of this point. The flattening
could be
> entirely explained away by these issues. I personally don't buy into
> inflation, but the stock market and oil is getting harder and harder
to
> ignore. Of course, only time will tell what is really going on.
>
> Trade Well
>
> > RTs:
> | >
> | > I have a note from several years ago that states "when IRX > ITX
there
> is
> | > always a recession, and there has never been a false signal. I
have no
> | idea
> | > of the truth of this statement, but it was just discussed as
credible
> on
> | > CNBC. I agnostic on this subject, but curious how index and option
> traders
> | > might consider this.
> | >
> | > Regards,
> | >
> | > Michael
> | >
>
>
>
|