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by humtumiit
March 2nd, 2012, 6:44 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>Relation of signals i.e. output and input data is not straightforward. If it would have been so easy there was no need to for ANN or SVM we could have simple relate the price input with the output i.e. signals and generated buy-sell signals with a smal algorithm. Getting input and output relation...
by humtumiit
March 2nd, 2012, 6:10 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>I compared SVM results with the ANN results. Results are similar or in some case, ANN results are bit better. If we can not predict buy-sell-hold signals with good accuracy then how can we develop a profitable trading strategy. These days almost every high frequency trading system use AI to gener...
by humtumiit
March 2nd, 2012, 5:09 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>I am working in R and used svm function to train SVM but still results are not good. It predict only 50% signals correct on the testing data. I am using 50 technical indicators as input data set and buy-sell-hold signals as target vectors. Buy-sell-hold target vector has been created mannally. I ...
by humtumiit
March 2nd, 2012, 7:34 am
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

Can we predict signals on test data by upto say 90% accuracy in SVM?
by humtumiit
March 2nd, 2012, 7:11 am
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>QuoteOriginally posted by: outrunI would advice to forget about the NN and use the much better mathematically founded Support Vector Machines. Also: instead of a target vector, it might be better to use reinforcement learning because that focuses on maximizing on overall reward without explicitly...
by humtumiit
March 2nd, 2012, 5:04 am
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

In situation where we are going to classsify trend - non trend like sitations, in such situations does simple ANN works or do I need to work with recurrent neural network or auto associative neural network?
by humtumiit
February 29th, 2012, 6:08 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>I am using 50 technical indicators as input and target vector is buy-sell-hold values. These buy-sell-hold values are generated through some method. I am trying to minimize the misclassification. My NN predict buy-sell-hold signals with 60-70 % accuracy on test data but I want to increase the acc...
by humtumiit
February 27th, 2012, 1:36 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

I am very clearly defined buy-sell-hold value as the target vector in neural network instead of -1, 0, 1. The performance varies with the inpur variables. After thinking so much, I still could not find what should be the input which give good classification over buy-sell-hold signls.
by humtumiit
February 25th, 2012, 3:34 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17989

Buy-Sell-Hold classification with Neural network

<t>Hi, I am applying classification problem (buy-sell-hold classes recognition) to Index futures prices. Trying to use classify buy-sell-hold signals with neural network. My trained neural network does not classify buy-sell-hold signals on the testing test with great accuracy. It predict with around...
by humtumiit
February 6th, 2012, 6:52 am
Forum: Book And Research Paper Forum
Topic: Need Paper
Replies: 4
Views: 15168

Need Paper

<r>Hi Guys, I need one paper urgently: <URL url="http://www.iijournals.com/doi/abs/10.3905/jpm.1992.409432Can"><LINK_TEXT text="http://www.iijournals.com/doi/abs/10.39 ... .409432Can">http://www.iijournals.com/doi/abs/10.3905/jpm.1992.409432Can</LINK_TEXT></URL> any one send me this paper on my emai...
by humtumiit
February 4th, 2012, 12:26 pm
Forum: Trading Forum
Topic: Need paper
Replies: 1
Views: 14971

Need paper

<r>Hi Guys, I need one paper urgently: <URL url="http://www.iijournals.com/doi/abs/10.3905/jpm.1992.409432Can"><LINK_TEXT text="http://www.iijournals.com/doi/abs/10.39 ... .409432Can">http://www.iijournals.com/doi/abs/10.3905/jpm.1992.409432Can</LINK_TEXT></URL> any one send me this paper on my emai...
by humtumiit
January 29th, 2012, 1:24 pm
Forum: Trading Forum
Topic: ANN based sotck price prediction
Replies: 11
Views: 16695

ANN based sotck price prediction

<t>QuoteOriginally posted by: FermionThat depends on how you have trained your ANN, since you must relate the output to price in order to train it.Here is a simple scheme that conforms to the geometric nature of price and ensures the std dev of o is in the right ballpark:Calculate the training outpu...
by humtumiit
January 29th, 2012, 1:21 pm
Forum: Trading Forum
Topic: ANN based sotck price prediction
Replies: 11
Views: 16695

ANN based sotck price prediction

<t>QuoteOriginally posted by: acastaldoOne (simple) way to do it, try to predict price direction:in sample period 1=rise in price tomorrow 0=fall in price tomorrow or unchangedout of sample period0.75= predict 75% probability of rise in price tomorrowetc.When I predict the direction in intraday, the...
by humtumiit
January 27th, 2012, 2:00 am
Forum: Trading Forum
Topic: ANN based sotck price prediction
Replies: 11
Views: 16695

ANN based sotck price prediction

<t>I am using artificial neural network for stock price prediction: Let us say, the stock price is trading around 120,121,120.4 ,..........I am plugging RSI, MACD, SMA10, EMA20, BB,ADX indicators in to the ANN as input data.My first question is:what would be the target value? Is it just the normaliz...
by humtumiit
January 19th, 2012, 4:54 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24256

cointegration based pair trading

QuoteOriginally posted by: DantasYou said you did a ADF test, but from what table did you get your critical values? did you performed the test with the DF statistcs?I performed ADF test in R. Which gives critical values and t stats as an output. No I did not perform DF test.
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