this thread looks a bit dead, but I hope there is still people interested in Neural networks around! So please share your experience with NNets here!
I already tested a few combinations of factors to test the prediction power of neural nets.
As I read in different papers and posts, using previous High-Low-Open-Close seems totally unefficient. The NN is totally lost in the dark... The Fitting plot of real value versus NN output is horizontal (1st pic Open-Low-High-Close.jpg), meaning it can't predict anything at all. It is the same result as trying to find the loterie numbers with a NN
I tried different inputs and output values, normalized or not, the result is the same.
So what's worse to look at?? It seems that technical indicators work way better. I tested a mix of classic indicators as inputs to predict the absolute price. The fitting plot is not the best but not bad(2nd pic - Technical factors inputs.jpg). I also think using absolute values is a very bad idea.
Using the Moving average slope to predict future slope gives interesting results to identify possible reversals (3rd pic MA Slope.jpg).
Another interesting way of research is too use a NN to evaluate good trading conditions. So I created a normalized score claculated from the current close and it's distance to future High and Lows. If the score is high, it means that in the next 4 periods, the distance between current close and future highs is high (Buy profits aheads) and distance to low is low (no significant drawdown). I had no sucess with this method for the moment.
Hope to have some comments and experience sharings very soon!
