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Steve,
it's an interesting thought; but remember there was no QQQ in the seventies,
nor were the S&P futures born yet... I may have DJ daily data from those
times, though. I'll let you know if an when I get around to researching
this.
Regards,
Michael Suesserott
-----Ursprüngliche Nachricht-----
Von: Steve [mailto:gts@xxxxxx]
Gesendet: Thursday, January 31, 2002 23:17
An: realtraders@xxxxxxxxxxxxxxx
Betreff: Re: [RT] Neural Nets
Michael I wonder what results you would get if you used a 10 year cycle.
What I mean is train your net based on 1990-91 data and run your test on
2000-01. I believe this is one of Gann's cycles as he made yearly forecasts
using the composites of 10 year cycles.
So you could look at 70-71, 80-81, 90-91. The only problem you might have is
the volatility based on price so you may need to look at the percentage of
the move instead of the actual points.
I would be interested in seeing these results if you have the time, data and
inclination
Thanks
Steve
----- Original Message -----
From: MikeSuesserott@xxxxxxxxxxx
To: omega-list@xxxxxxxxxx ; realtraders@xxxxxxxxxxxxxxx
Sent: Thursday, January 31, 2002 4:53 PM
Subject: [RT] Neural Nets
Have been playing around a little with a neat present I had bought for
myself last Christmas - Neuroshell Daytrader (www.neuroshell.com). Here are
the results of one system that came up in testing. As you will see from the
attached chart, neural nets are by no means perfect, but it looks like they
can make money for you.
This very crude QQQ system is based on 30-min. data starting Jan. 2001. It
doesn't use stops and is always in the market. The net was trained on data
up to Oct. 9, 2001, then tested on out-of-sample data from Oct. 10 through
Oct. 24. Following that, it was retrained using the additional two weeks of
data up to Oct. 24, and applied on the out-of-sample data from Oct. 25
through Nov. 7. In this manner, a series of 2-week-long walk-forward tests
on out-of-sample data was produced, with the net being retrained every two
weeks the way it would have been done in real trading, too.
In spite of some whipsaw, the system proves quite profitable with an
annualized return of 193.9% (statistics attached). While I still reserve
judgment on the general value and applicability for my trading, I must say
the results of testing so far look promising.
Best regards,
Michael Suesserott
Disclaimer: I have no connections with Ward Systems except as a customer.
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