What software application were you using if you care to say? All applications that I know of get to the point you ended and then apply your end state to an new data set called the test set to determine viability on untrained data. The difference is measured. The internal parameters are altered and the network is retrained. This process is repeated until the min difference between training set and test set is found. Then you test that on another totally unseen data set. If the results hold you are ready to paper trade.
Does anyone have a theory on why ET attracts this kind of behaviour from posters I assume our out of junior hihg school?
What the hell does this mean: "I assume our out of junior hihg school" Are you another autistic programmer wannabe trader fool? ROFLMAO!
While the question is intersting it isn't worth spell checking. Please tell me a bit about your goals on ET? What purpose does it have in your life: 1) Impoved trading 2) Social networking 3) Other How are you feeling at this time? Does making making a post on ET change those feelings and how long does the change last? Now close your eyes, take a deep breath and tell me what thoughts seem to appear of their own accord. How do you feel about these thougts?
I don't know if I'm veering too much off topic here but neural networks geek me out and I love to retell this story. I'll probably only stop when somebody finally makes fun of me for constantly bringing it up. The neural network software was neat4j. I think that software worked fine. It was my program that generated the training set from some indicators I had that was the problem. Most particularly, I located the problem to be somewhere between the keyboard and the chair. The whole data set was cooked so the network would have given it a thumbs up no matter what. The problem was the mean I used I had applied to the entire time series, not just up to the point that the network would have been aware in time. So say I have six data points [1, 1, 1, 2, 3, 4]. Average the first three and get 1. Average them all and you get 2. I meant to apply, say, a 3 sample rolling mean so that on sample 3 (day 3) I'd only have the first few samples. But I screwed it up. So the interesting part in all that was the network managed to infer some things from that cooked data. When I fixed the problem, the network suddenly couldn't figure out anything from what I gave it, and rather preferred to saturate to one extreme or another. I have much of the infrastructure in place to run some new tests but I wanted to spend some time figure out what the heck I'd even want to feed it. Just grapping a sack of indicators and shoving it down its throat was not good enough. I read this stuff about the network being able to infer hidden variables, and that throwing indicators at it is kind of obscuring it. Consider it instead as a form of compression. I could give it 20 points to deal with but the training time starts to get huge. Would it not be better then to represent those 20 points in less inputs? That was a real question BTW. The topology could just become just as gross as the original system but I couldn't say until I've tried it. I'm thinking of that one episode of Dirty Jobs "Try, try it." "He go, eh?"
So you chickened out. You cannot put up because you are a liar. No disclosure of how you "calculated" your slightly better than 50 %. No explanation of the alleged error in my analysis. Simply because you made it all up.
Your story makes a point about how an ATS can be set up for use and also maintain its efficiency. I be;lieve a lot of people have had to sit down and figure out how to go about creating a system that operates like an experienced trader would. Another way to put it might be the consideration of how to set up an ideal approach. I once sonsidered looking into using a tool that advertizers use to see how people consider television adds. Used ones are available for about 20k. Underlying the concept of advertizing is the idea that people will look at the ads in various ways but the better ways are made available by testing observers and what observers do. I concluded that most people fail because they never "see" the markets. A lot of posts verify that in ET. In trading, one principle is that different things are important at different times. To get to this being available requires that two differnt concepts be put in play: !. Trading from the general to the specific, and 2. Building a system from a foundation and putting building blocks upon the foundation. 1. is analysis and 2. is synthesis. Their combination is how effectiveness and efficiency comes into being. An example of this is the consideration of people who know how to do something and people who do not know how to do that thing. the ones who know how have the advantage that their memory automatically prings up what is needed when it is needed; these memories also automatically eclude what is unimportant at a given time. People who do not know how to do the thing lack a memory resouse that chimes in in an appropropriate way to let them move forward to the solution. In this thread we see almost nothing getting figured out. Probably it because of the fact that few have little notion about going about the business of problem solving. At the end of this tunnel there is light and a resolution. For anyone who has made the trip, they can look back at others as they proceed. It is OJT mostly where the job is defined. Curves and curve fitting comes from letting the tail wag the dog as we see. People learn various skills and they have a propensity to apply those skills to any problem that comes their way. Too bad. Problem solving skills are what are needed to get to an excellent trading approach (manual or ATS). The glaring mismatch between the common trading ATS's and the markets they are apply to comes largely from the fact that the potential problem solvers know little about markets or trading. Read the current thread on Acrary's determination about money making (an included poll shows how the choices are fucked up, for example). Look for a moment at a market and its action in terms of its variables. Apparently to take the market's offer a trader needs to have his timing down cold. Taking each segment of profits offered is the objective. As this is seen and realized it is possible to conclude that the market moves from right to left and then left to right relative to what defines its movement. There is a statement: "Let the trend be your friend". The rhyming apparently is important for keeping this in mind. The anchor for trading successfully is the correct side of the market as the money extraction tool (price change) is considered. The beauty of supply and demand is who is in charge; we know it is the minority. And that determines the correct side of the market. The mathematics that makes up the ATS's that use this principle is simple just because it is processed by computers. Russians give their children a toy that has wooden dolls inside of wooden dolls. How did this toy get created and become so successful and entertaining in the minds of those who associate with it? The whole market involves all those who participate. Each approach is identifiable and they are comingled just as are the wooden dolls. Few people would consider taking the market apart from the collective data; these few do do that for their reasons. Others examine inefficiencies. Acrary suggests making money to an extent that 200% accumulates a year. Daily, this is a small amount to compound and it is certainly available as detrmined by the market's offer. The problem is timing the aggregate of the activity. The solution is taking the dolls apart and as you do, dicovering that they all look alike and are in relation to one another. The two major observable pieces are volume pace and price volatility. This was handed to talon on a silver plater recently. When crossed to expose the tendencies, the distributions are heart warming. The problem solver's conclusion is that markets are orderly. Supply and demand is explained by one principle; the degree of agreement of the participants. Obviously volume pace and price volatility explain the character of AGREEMENT or it ABSENCE. Each fractal exhibits the ebb and flow of the character of the participants. fractal to fractal, all is interlocking in a specific ratio (3:1). As agreement ensues, the market moves from right to left; when agreement wanes the market moves from left to right. This is true for either market sentiment. when sentiment is changing, then there is an overlap of the two degrees (differing bases) of agreement; gradually one fades into the other until a relative minimum is reached. Putting all of the above into an ATS for any market all of RTH's given sufficient liquidity, works out as a solution that involves what I introduced in the beginning. Long ago I encapsulated it in a chart of nine tables. At any time there needs to be a proper resolution for what is going on. In jerry030 terminology about 70 items are invloved. Rdolution comes by automating what to pick at any time. 6 or 7 degrees are needed to have the focus handled at any time. The market does either of two things at any time: continue or change. these are orthogonal as is well known. ATS's cannot deal in opposites in this regard. But the ATS does deal in opposites "inside" the dolls using the 6 or 7 "picked" degrees of resolution. As daytraderbill explained Boolean is how opposites are defined. In trading volume leads price and A/D leads volume. A/D means accumulation/distribution (See supply and demand). Their cyclic frequencies are 1:2:4.
This is a classic type ad hominen attack, as opposed to trying to deal with the argument made. I believe jack is correct about volume and A/D and you can see that all the time (I assume you are not just a programmer like some of the others here who have never traded). Certainly, there is a huge problem in implementing systems that incorporate these principles. But do not shoot the messenger. Try to learn from him. Every maverick trader watches first volume and then A/D. They also watch other things but these are the most important. You fail to understand necessity versus sufficiency. These are necessary but not sufficient to make money. Your lack of understanding of the deeper issues which come very close to being philosophical in nature, give you the wrong impression of reality and you fail to appreciate others, like Jack.
okay I'm game to play with A/D and volume since I just blew a week trying to make stochastics do something for me. No go. I'd call that an example of curve fitting; I could optimize it to the point that over a year it'd trade individual stocks a handful of times and gain each time, but applied across the whole market, it would puke royal. I can try to make a strategy out of it and along the way we can ask where it becomes curve fitting, or perhaps where it becomes bad curve fitting, or we can continue to argue about price action versus indicators. I still don't get price action conceptually. It seems to get thrown around like jargon. Not saying stochastics are crap, just that I couldn't make a strategy out of it for the "swing scalping" style I've fallen into. Take note I'm doing all this in happy lala computer land still. I think I got a system with MACD, but at certain spans it just sits there. Going across NYSE, NASDAQ, and AMEX, with ETFs included, it has nothing to offer on some days, and a huge pile on others. So I wanted a second indicator to fill in those off days, and also as a check in some way. I get that, I forward test, and then I will start risking my neck. Anyways when I first was getting into this, I was trying to use as much various information about the bars that I could since I have been pulling just daily data for everything online. So I was looking into things that used open, close, high, low and volume for a bar. I couldn't get anything out of those indicators, but I was also using them very poorly. So while checking my last bits of stochastic, I did notice that the day before a big spike in volume that I'd often have a good open-open price gain opportunity. By the time the volume spiked it was too late. So it wouldn't be any good for going long, but it could be for either going short, or for avoiding that stock entirely. That's the first time since I started that I got anything tangible from volume. Generally what should I be looking for between A/D and volume? Is this an old-fashioned A/D line or something more elaborate? For that matter, is there anything I should be doing volume? My goal for the next week would be to 1. Develop some strategies using that relationship in NinjaTrader 2. Hit the magic optimize button for whatever parameters they entail. 3. Show off those charts as stuff that I think most people would consider to be bad curve fitting. Mix it in with cases where I try to apply the magic parameters to a different symbol entirely and watch it burn up and die. 4. Using some of the ranges given in the optimizer, try to infer regions that are generally profitable and apply them to my own program that sweeps across the whole market. 5. Get those magic numbers and try them over a more recent span to see if they still stick. My style is to put market orders for the market open, and close them out on the next market open, using daily data. No stops. If the strategy fails I won't claim it's useless, just that it didn't work for me--like stochastics didn't work.
You are the liar as it will be proven below. For starters, I have explicitely descibed to you why you are wrong. First, I explained to you that your system just follows a trend on hindsight. You fail to understand it. Then, I tried to help you understand that you made a wrong application of EL. You failed to understand that too. I am not going to teach you EL here. It is neither my job nor my duty to educate you. You are hopeless. Now, your universally quantified statement (if you do not know what that means do not worry, it should be the least of your concerns or problems) that the Harris system performance was as good as any random selection of trades during the same testing period is falsified if I can present to you just one random sample of such trades that have no pattern entry rules, it is of sufficient size and has the same profit and target levels of 7% from the opening entry price. As soon as the system exits a position, it waits for a random number of days N = 1,2,3,...,9 before taking another position. Here are the results of the system for N =2, profit level = stop loss level = 7% that anyone can check with data from Yahoo! I used Metastock and surprise surprise liar and conman combined the result is 50% success rate. The performance results are: ----------------------------------------------------------------------------- Total net profit -0.5230 Open position value 2.1200 Current position Long Date position entered 7/17/2008 Buy/Hold profit 18.4100 Days in test 2300 Total closed trades 56 Commissions paid 0.0000 Avg profit per trade -0.0472 Avg Win/Avg Loss ratio 0.96 Total long trades 56 Total short trades 0 Winning long trades 28 Winning short trades 0 Total winning trades 28 Total losing trades 28 Amount of winning trades 66.1151 Amount of losing trades -68.7581 Average win 2.3613 Average loss -2.4556 Largest win 3.3383 Largest loss -4.2600 Average length of win 32.79 Average length of loss 20.89 ----------------------------------------------------------------------------- Continued down