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No, I run it on a first come first serve basis. All the long neural networks are wrapped into position != long { } then all short neural networks are wrapped into position!= short {} That way if the system is already long, then all the long neural networks sit on the side lines. If a short...

I agree that relying on multiple signals to confirm the entry/exit of a trade when dealing with NNs is a losing battle. You will barely have any trades and the ones you do have I have not found to be better. Having multiple independent strategies does reduce your risk. In essence that is what I...

Due to an oversight in how I was loading the strategies in NinjaTrader no valid trades will be taken today as the strategy sees insufficient data. Starting tomorrow the strategy should run correctly. I will backtest against today at end of day to see if any trades should have been taken..

That is an interesting article. I am open to discussing most topics about my strategy, except for my neural networks. The key is what your inputs are and what your predicting as you stated. I turned a corner not too long ago with my NNs when I changed completely the way I was approaching the...

No trades were taken today.

The strategy uses 5 minute bars. I do not want to get side tracked since I believe I may be on to something. However, once I complete this strategy, I would be open to looking into U.S. Steel.

Finding new profitable neural networks after reaching a certain threshold is becoming very difficult. I have 100's of ideas on how this strategy can be improved. Will be a while before I am fully satisfied. However, I do have it running live on SIM account today so that I can start to get a few...

Yes I am including commission. I am also including 1 tick of slippage. All trades are done with market orders, so getting filled shouldn't be a problem, however the 1 tick of slippage may be generous. Even so at well over $100 a trade I have room to allow for plenty of extra slippage. It...

You can use any C# library in NinjaTrader. There are several neural network libraries written in C#.

I was just curious what the earnings potential was like. So I assumed that 10k per contract was reasonable. So starting in 2007 with 10k in the account... And capping it at max 50 contracts to avoid liquidity issues and you arrive with 4.5 million today.. Maybe I should start one of those...

Eliminate based on the training data. Right now I am finding that as I add new neural networks the profitability barely changes. A few hundred rarely a few thousand anymore... Yet the neural network by itself in many cases is +5k or more. This leads me to believe that many of the setups the new...

I have 4 distinctive groups of neural networks that make up this strategy. I wanted to see how "robust" the networks were so I ran each group of networks against the 30 stocks in the DOW. Two of the neural network groups were profitable on at least half of the DOW components. Two were only...

Done for the night. I now have 29 neural networks. 18 long and 11 short. Results look good. Although historical results are only part of the puzzle. Will have to run for a while and see what happens. PL: +$120,780 (per contract) Profit Factor: 2.94 Sharp: .95 Trades: 826 Win %: 58%...

Now this is actually getting very interesting. The statistics are incredible at this point... I now have 18 neural networks included. The strategy is still long only. I am starting to run out of ideas for new neural networks on the long side. Soon will be time to start working on the short side...

I am sure this question will come up. The neural networks are trained on the data up until 6/2009. The last year 6-2009 till now 6-2010 is completely out of sample data.

Now up to 8 combined neural networks. Getting better, but still a long ways to go to get to the goal of approx 50. PL: +$24,460 (per contract) Profit factor: 2.37 Sharp: .72 Trades: 292 Win %: 60 Max DD: -$1270 Largest win: +$1445 Largest Loss: -$670 Only a few more Neural networks...

I am done for the night, but wanted to share some of what I am looking at. So far I only have 4 neural networks combined. All long only. The market I am testing is dow futures (YM). Trading only a single contract. This may not work out.. but should be a fun experiment if nothing else...

The idea used neural networks as that is what more people are familiar with. The idea I am getting at can be applied to any method capable of learning patterns. The thought being you take something and curve fit it beyond what the general "masses" say is acceptable. Then combine many of those...

Ed, Thanks for the reply. You are correct, exits makes a strategy work. For these tests, I am having a set time exit. For example exit after 5 bars. The reason is, I am trying to find an edge with these neural networks. Becomes very simple. Is the neural network finding a pattern that 5 bars...

Many of you will laugh at this idea and with good reason. Common sense dictates that this should be a bad idea, and everything you've ever read probably said do not do this. However, I am bored, and there could be some "merit" to this. The basic idea is you develop x number of neural...