Quote:
Originally Posted by alpha24seven
It has been my experience that using NNs to predict a MA is very difficult. There is simply too much variability (noise) to deliver a profitable model. This is just my experience and I'm obviously wrong if this NN model is going to win the EA contest.
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In my experience, it is possible to "predict" a profitable sma (but not ema/hull or any simular) using the jurikres object (or your own) to built a proper data set.
This is because a sma has a fixed lag - 50% - and thus also a "predictable" velocity curve while most other ma's do not.
However - the output signal becomes more noisy (difficult to control) from about 25% lag towards 0% (real time)
I have never been able to actually create a real time predicted ma yet.
However - in actual live trading, I use some interesting combination of a cycle measurement (to determine cycle periods - something reminding of the Ehlers dominant cycle) and this cycle period I then use in combination with some wavelet formation.
Used properly, the wavelet provides me with a 12% lag (constant and very reliable) which then I feed to some NN. Using this, I create a MA with 5-7% lag only (better than a ZMA even) with minimum noise - and no overshoot like a ZMA.
This I then use as a basic building block for building indicators - in some indicators this is indeed very useful.