Neural Network EMA system (NeuroTrend)

[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.

[auto9817]

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.

Hello

I am studying NN too. Once I had reached same colclusion as you Arrone (i.e. predicting based on the history data of a single currency pair and its derived indicators is not very reliable.)

I still have not achieved reliable accuracy using NN especially using self data.

But including myself, some people can predict over 70% using only self data as input using some statistical methods in university text book (for example, None Neural Network method).

From this fact, my believe is that it should be possible to predict over 70% of accuracy using neural network too only using self data or using derived data from self data.


I think the problem comes from neural network itself.

and My view about NN is as followings:

Firstly, it has too much parameters while we only have limited number of inputs for training.

Secondly, it is too slow.

Thirdly, it often gets to wrong path to the solution while training (if you use many different training methods including genetic algorithm, steepest descent, conjugate gradient and so on you will see and feel this.)

Anyway, just written few comments as I think I am on where you are too in terms of NN wise.

good luck !!

[daytrader65]

Didn't anyone notice that NeuroTrend is seriously flawed ??
I made a simple EA, trading on NT signals, and backtested it.
The result was amazing... profits went trough the roof in no time.
There was obviously a problem, and after a quick glance at the NeuroTrend code I found that the internal inputs 15 and 16 is taken from 1H EMAs which
will be looking atleast 45 minutes into the future. Works great on backtest
where 1H bar0 is always finished and available, but obviously fails miserably on
forward test. I did forward test it and as expected the results were nothing
near what the backtest showed.
So it looks to me that NT in its current form has no future...

[allangering]

Neuro Trend indicators are universal, working with any market and any time frame. This includes Forex, Stocks, Futures, Bonds, Equities, Commodities. Neuro Trend indicators are user friendly, allowing the trader the ability to adjust the variable inputs for their own style of trading. We`ve used the most advanced technology available in the designing and developing of the Neuro Trend indicators.These indicators are one of the best sets of indicators ever created by our developers. These indicators are easy to use, even though they are programmed with the latest and most Complex Logic Algorithms available today . Investors and Traders can enjoy a greater potential for profit, including minimizing your risk. Neuro Trend indicators work in real time or position trading. Neuro Trend will work in any time frame and any market, including: Tick, Minute, Hourly, Daily, Weekly, Monthly or Yearly. The objective of every trader is to make a profit. That is what we had in mind when we developed this software program.The NeuroTrend indicator generate the buy and sell signals. It clearly shows the overall trend. It help maximize your profits and minimize your losses.
____________

[daytrader65]

Originally Posted by allangering

Neuro Trend indicators are universal, working with any market and any time frame. This includes Forex, Stocks, Futures, Bonds, Equities, Commodities. Neuro Trend indicators are user friendly, allowing the trader the ability to adjust the variable inputs for their own style of trading. We`ve used the most advanced technology available in the designing and developing of the Neuro Trend indicators.These indicators are one of the best sets of indicators ever created by our developers. These indicators are easy to use, even though they are programmed with the latest and most Complex Logic Algorithms available today . Investors and Traders can enjoy a greater potential for profit, including minimizing your risk. Neuro Trend indicators work in real time or position trading. Neuro Trend will work in any time frame and any market, including: Tick, Minute, Hourly, Daily, Weekly, Monthly or Yearly. The objective of every trader is to make a profit. That is what we had in mind when we developed this software program.
The NeuroTrend indicator generate the buy and sell signals. It clearly shows the overall trend. It help maximize your profits and minimize your losses.

So what are you talking about here?
I was talking about aroonraj's "NeuroTrend".

[criss73]

I tried this for a couple of days now and it's pretty amazing. Only time will tell now.

[MadCow]

Originally Posted by daytrader65

Didn't anyone notice that NeuroTrend is seriously flawed ??
I made a simple EA, trading on NT signals, and backtested it.
The result was amazing... profits went trough the roof in no time.
There was obviously a problem, and after a quick glance at the NeuroTrend code I found that the internal inputs 15 and 16 is taken from 1H EMAs which
will be looking at least 45 minutes into the future. Works great on backtest
where 1H bar0 is always finished and available, but obviously fails miserably on
forward test. I did forward test it and as expected the results were nothing
near what the backtest showed.
So it looks to me that NT in its current form has no future...

I am confused by your comment. Inputs 15 and 16 refer to the previous H1 bars since shift is 1 and 2. This does not seem to look forward. All the documentation on the strategy tester used for backtest state that the ST simulates ticks one at a time, and will not allow your EA to look into the future. It is not unusual for an EA to backtest well and then fail in forward test. There are many reasons for this, but it is truly hard to get the ST to look forward.. you must fool it by using an external file with the output of the net, previously computed, but shifted forward, or something like that. Perhaps the net was trained on old data and needs updating for forward testing. Or perhaps the backtest was on the data for which the net was trained.. that's just curve fitting.

[MadCow]

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.

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.

[daytrader65]

No the EA gave HUGHE profits on any pair, month, or year, and without any form of re-training.
The price of 1H bar0 is its closing price. If you access this bar from a lower TF eg 1M you'll have that price available for a full 59 minutes before that
1H bar actually closed..... iaw looking 59minutes into the future.
You can monitor that bar0 price in backtests and see that it is actually stable, but on foreward test the price moves with the ticks...

Originally Posted by MadCow

I am confused by your comment. Inputs 15 and 16 refer to the previous H1 bars since shift is 1 and 2. This does not seem to look forward. All the documentation on the strategy tester used for backtest state that the ST simulates ticks one at a time, and will not allow your EA to look into the future. It is not unusual for an EA to backtest well and then fail in forward test. There are many reasons for this, but it is truly hard to get the ST to look forward.. you must fool it by using an external file with the output of the net, previously computed, but shifted forward, or something like that. Perhaps the net was trained on old data and needs updating for forward testing. Or perhaps the backtest was on the data for which the net was trained.. that's just curve fitting.

[lumanauw]

Hi, MadCow,

What is VSA? is it derived from volume (cltr-L) in MT4? I would like to study your VSA indicator please.