Quote:
Originally Posted by aroonraj
Hi Stever,
The initial idea that I shared in this thread was just for discussion and as a start to find better models. I agree that one need to consider as inputs other forces too for prediction. Many forex brokers do not have option to trade other comodities so its not possible to get the data for other commodities.
I currently use data from different currency pairs (inter-market) to predict the strength of EURUSD. Its still in research so I cannot mention any results, but I agree that predicting based on the history data of a single currency pair and its derived indicators is not very reliable. Your winning % of 60 is good as a start. if you can achieve the same with your model in forex, you can create reliable trading strategies.
Also prediction on daily basis will show good winning ratio in training and testing NN, but poor results practically on accounts with small amounts. I am not a full-time trader and am not an investor so I use smaller timeframes (M1-M15) for forecating signals. You can think my trading style as a NN scalper.
I am open for new ideas and discussion either in this thread or in a new thread on building trading systems based on NN.
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On another subject, has anyone tried to use the volume and range of the current (shift=1) bar as an input? There are many who claim that Volume spread analysis (VSA) really Volume Range analysis, results in profitable trading. They claim that patterns in the VSA data can be read and used to predict one or two bars ahead. I have made experiments using a K-nearest neighbor classifier and have found that indeed there are patterns to recognize. One can predict the direction of the next bar with something like a 63% accuracy, where the accuracy is measured as the number of positive or negative predictions that are correct. It misses many, by calling them flat, and though these are errors, and would make the overall error rate about 50%, they aren't important if you don't use tem to trade.. So far I have not been able to use the prediction in an EA that returns acceptable profits, but I thought that some VSA inputs might improve neurotrend. If someone is interested, I will attach an indicator that calculates four VSA features that I have found to be useful.