A forum is not a place to post data or reveal your secrets. Forum is a place where you can find like-minded people. Perhaps someone was looking for answers to questions of market pricing in the direction that I am showing, this person could easily understand what was being discussed, and then we could talk to him more thoroughly in private conversations.
For example, you tried to search for an answer in the direction I indicated. What have you done
1 used - standard approach https://quantstrattrader.wordpress.com/2017/02/15/ehlerss-autocorrelation-periodogram/ ).
what exactly is the mistake of this approach
1 The method is based on a moving average - this is unacceptable
2, this method eliminates the concept of time, and without the time-volatility relationship, any programming does not make sense
PS
I can give you credit, for a history of 20 years your method was wrong for only 2 years, this is a satisfactory result
Develop your thoughts and perhaps you will get a higher probability of programming
rule 1 XLBror000BarsAhead_00_part02 <- /fitness 0.396508 /numWins 359 /numHits 504 /netWins 214 /mean 5.56781 /perfMeasure 266.494 /winPct 71.2302 /hitPct 9.96638 /numTxns 5057 /numInstr 60 /crc 8ea11c4b2a5c64b
0000: if scaled_close2000to1333 >= scaled_close0833to0611
0001: if -70.222 > scaled_close1500to1138
0002: return 89
0003: if -75.7858 >= scaled_close0888to0555
0004: return 89
0005: if scaled_close0944to0055 <= scaled_close1638to0555
0006: if -56.095 > scaled_close0472to0027
0007: if -54.0955 < scaled_close0833to0194
0008: if -26.1458 > scaled_close1416to1277
0009: if scaled_close0722to0555 > scaled_close0916to0500
0010: return 89
0011: if scaled_close1583to0361 > scaled_close1888to0166
0012: if scaled_close0638to0388 >= -16.0178
0013: if scaled_close1833to1722 <= 0.152138
0014: if scaled_close0666to0500 <= -60.0071
0015: return 89
0016: if scaled_close0861to0416 >= -31.4488
0017: if 61.3981 >= scaled_close1555to0916
0018: if scaled_close1583to0888 >= scaled_close0722to0000
0019: if scaled_close1777to0444 > scaled_close1388to0777
0020: if scaled_close1166to0861 <= scaled_close1333to0138
0021: if scaled_close1944to1638 < -44.663
0022: if scaled_close1666to0833 > scaled_close1777to1694
0023: return 89
0024: if scaled_close1916to1000 <= scaled_close1944to0277
0025: if scaled_close1916to0055 <= -38.5341
0026: if scaled_close1083to0083 > scaled_close0666to0277
0027: if scaled_close0138to0111 < scaled_close0972to0444
0028: return 89
0029: if -62.3978 > scaled_close0861to0805
0030: if scaled_close0083to0027 < 74.5253
0031: if -23.1031 > scaled_close0555to0166
0032: if scaled_close1777to1388 < scaled_close0250to0138
0033: if scaled_close0305to0111 <= 70.3959
0034: if -66.875 <= scaled_close1833to1361
0035: if scaled_close1361to0138 > scaled_close1694to0388
0036: if scaled_close1750to0805 >= -54.5302
0037: return 89
0038: if scaled_close1611to1583 >= -6.80268
0039: if scaled_close1555to0527 <= scaled_close0722to0694
0040: if 37.6212 > scaled_close0972to0388
0041: if -52.5306 < scaled_close0277to0083
0042: if scaled_close0305to0194 < -63.0063
0043: if scaled_close1722to1583 > scaled_close1638to1333
0044: return 89
0045: if scaled_close1444to0916 < scaled_close1750to1333
0046: if scaled_close0611to0250 >= scaled_close1333to1055
0047: if -53.1392 >= scaled_close0500to0388
0048: if 38.0994 < scaled_close1111to0222
0049: if scaled_close2000to1000 < scaled_close1222to0222
0050: return 89
0051: if scaled_close1750to1277 >= -50.8354
0052: if 54.3128 <= scaled_close1194to0888
0053: if scaled_close1250to0055 <= scaled_close1611to0944
0054: if scaled_close1138to0055 < scaled_close1861to1694
0055: if -61.398 < scaled_close0444to0361
0056: if scaled_close1083to1027 >= -50.7485
0057: if scaled_close0888to0722 < 58.051
0058: if scaled_close1916to0027 <= 34.4481
0059: return 89
return NAN
I respected your method, pointed out the shortcomings to which you should pay attention, but I am not ready to share my data with programmers, this data can destroy the established balance in the market and deprive any instrument of liquidity, this will cause an imbalance and the collapse of exchange tradingThe cycle-finding method I used in the example is not relevant to your method.
I responded to your post because you mentioned an interest in using neural networks. Neural networks can help recognize relationships among different data.
The genetic programming software I developed can also help recognize relationships among different data and output human-readable rules like
Code:rule 1 XLBror000BarsAhead_00_part02 <- /fitness 0.396508 /numWins 359 /numHits 504 /netWins 214 /mean 5.56781 /perfMeasure 266.494 /winPct 71.2302 /hitPct 9.96638 /numTxns 5057 /numInstr 60 /crc 8ea11c4b2a5c64b 0000: if scaled_close2000to1333 >= scaled_close0833to0611 0001: if -70.222 > scaled_close1500to1138 0002: return 89 0003: if -75.7858 >= scaled_close0888to0555 0004: return 89 0005: if scaled_close0944to0055 <= scaled_close1638to0555 0006: if -56.095 > scaled_close0472to0027 0007: if -54.0955 < scaled_close0833to0194 0008: if -26.1458 > scaled_close1416to1277 0009: if scaled_close0722to0555 > scaled_close0916to0500 0010: return 89 0011: if scaled_close1583to0361 > scaled_close1888to0166 0012: if scaled_close0638to0388 >= -16.0178 0013: if scaled_close1833to1722 <= 0.152138 0014: if scaled_close0666to0500 <= -60.0071 0015: return 89 0016: if scaled_close0861to0416 >= -31.4488 0017: if 61.3981 >= scaled_close1555to0916 0018: if scaled_close1583to0888 >= scaled_close0722to0000 0019: if scaled_close1777to0444 > scaled_close1388to0777 0020: if scaled_close1166to0861 <= scaled_close1333to0138 0021: if scaled_close1944to1638 < -44.663 0022: if scaled_close1666to0833 > scaled_close1777to1694 0023: return 89 0024: if scaled_close1916to1000 <= scaled_close1944to0277 0025: if scaled_close1916to0055 <= -38.5341 0026: if scaled_close1083to0083 > scaled_close0666to0277 0027: if scaled_close0138to0111 < scaled_close0972to0444 0028: return 89 0029: if -62.3978 > scaled_close0861to0805 0030: if scaled_close0083to0027 < 74.5253 0031: if -23.1031 > scaled_close0555to0166 0032: if scaled_close1777to1388 < scaled_close0250to0138 0033: if scaled_close0305to0111 <= 70.3959 0034: if -66.875 <= scaled_close1833to1361 0035: if scaled_close1361to0138 > scaled_close1694to0388 0036: if scaled_close1750to0805 >= -54.5302 0037: return 89 0038: if scaled_close1611to1583 >= -6.80268 0039: if scaled_close1555to0527 <= scaled_close0722to0694 0040: if 37.6212 > scaled_close0972to0388 0041: if -52.5306 < scaled_close0277to0083 0042: if scaled_close0305to0194 < -63.0063 0043: if scaled_close1722to1583 > scaled_close1638to1333 0044: return 89 0045: if scaled_close1444to0916 < scaled_close1750to1333 0046: if scaled_close0611to0250 >= scaled_close1333to1055 0047: if -53.1392 >= scaled_close0500to0388 0048: if 38.0994 < scaled_close1111to0222 0049: if scaled_close2000to1000 < scaled_close1222to0222 0050: return 89 0051: if scaled_close1750to1277 >= -50.8354 0052: if 54.3128 <= scaled_close1194to0888 0053: if scaled_close1250to0055 <= scaled_close1611to0944 0054: if scaled_close1138to0055 < scaled_close1861to1694 0055: if -61.398 < scaled_close0444to0361 0056: if scaled_close1083to1027 >= -50.7485 0057: if scaled_close0888to0722 < 58.051 0058: if scaled_close1916to0027 <= 34.4481 0059: return 89 return NAN
So I was offering to help you for free achieve your goal through an alternative to neural networks.