Neural Networks Revisited

lucysparabola said:
yeah I will. with Billions being on hiatus until S2, I need some new entertainment.

It's less than you'd probably imagine. I also have a good-faith promise to use the system for the team that is developing it for me which helped reduce the rate.
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Sweet.

So you're telling them what you want...and they figure out how to code it?
 
well not to be combatant, but different systems' constructions produce different degrees of longevity. i.e. if something is geometrically based then I have a lot more faith in its ability to withstand the dreaded market changes that so many people carry on about.

but if we're talking an RSI & MACD bout of nonsense then it'd need to be > 500 trades for my own comfort.

also would depend on avg win V avg loss & % profitable. honestly over 100 trades, those are the only stats that I would personally care about. if I have 65% wins and 1.5x greater win than loss, then I would be fine with accepting it as a good system.
 
more or less. this has been going for awhile. I built a framework over the last two years to encapsulate price and then saw many patterns that I needed to be tested. I've got a long way to go with it - check your PMs in a few, I'm almost done writing you there lol.
 
lucysparabola said:
well not to be combatant, but different systems' constructions produce different degrees of longevity. i.e. if something is geometrically based then I have a lot more faith in its ability to withstand the dreaded market changes that so many people carry on about.

but if we're talking an RSI & MACD bout of nonsense then it'd need to be > 500 trades for my own comfort.

also would depend on avg win V avg loss & % profitable. honestly over 100 trades, those are the only stats that I would personally care about. if I have 65% wins and 1.5x greater win than loss, then I would be fine with accepting it as a good system.
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Lol...no worries...I'm battle hardened :)

Ok, but what about if you knew nothing about the system other than it performed as the chart I displayed early on. How long would those type of returns have to continue before you'd be willing to believe that the system works, or wasn't 'fool's gold,' 100 years, 1 year, Never, something else?
 
userque said:
You can skip bars.

I was referring the the chart I posted from C2, also showing a few statistics for the system.

My question was simply about looking only at results; how long does one have to see those type of results before they would be convinced that the system is not 'fool's gold,' even without knowing anything else. 100 years? 1 year? Never-in-Life? Etc.

It's an open question to anyone.
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For comfort, I think it should work on out-of-sample data of 2 years. AND it should work across a set of instruments (say 5+) that have been selected PRIOR to testing the models on them. Selection bias in the instruments that are chosen for modelling is a very easy/common mistake.
 
maninmoon said:
For comfort, I think it should work on out-of-sample data of 2 years. AND it should work across a set of instruments (say 5+) that have been selected PRIOR to testing the models on them. Selection bias in the instruments that are chosen for modelling is a very easy/common mistake.
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Yes, I agree. That would be comfortable.

But there is no comfort for the question at hand. :)
 
OK I finally reread the image.

you're near the point of statistical significance with 27 trades. your losses are very well limited. give me my sample size of 30 and i'd be good!
 
Getting back on topic. Has anyone managed to build a simple NN that gives a reasonable trading performance across a set of instruments?
 
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