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12-20-2007, 05:40 AM
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Hmm, I wonder whether Better wasn't just lucky to have a trending market. The same upward pointing patterns repeated and his system simply captured them near the optimal points... I dunno nothing bout GPFs. I suppose SVMs can be very powerful if you know what you are doing. I did not. Feed forward nets have given me good results. Repeating what I said in a previous posting - it's all in the problem definition, not the algorithm. ------------------------------- Don't take anything for granted. I am not an expert. Last edited by got_fx; 12-21-2007 at 03:42 AM.     
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12-20-2007, 05:58 AM
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It's the ups and downs that pay off. Additionally, in my previous attempts (I don't trade) I've tried to non-dimensionalize the problem, that is thinking in percent changes and having percent targets given past moves in the price rather than core pips. I could not come up with a way to automatically accurately determine the past turning points though given the jagged behavior of most indicators. Would you have any suggestion? What do you mean under "my price line is much smoother"? Thanks.
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12-20-2007, 09:40 AM
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time/price period data
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I used the EUR since 1/12/07 and, for the first graph I used a fixed 10 pip +- previous period's max/min which is still rather noisy (but, should give you some idea.) The second graph is a fixed 2 hour period of the same data. In live trading, I use the first graph - although I must admit that I implement all kinds of ideas to vary the 10 pips. Oh yes - both graphs a close price - however, actual closing time vary greatly between them and as such, a direct comparison is not really possible. Personally, I find the first dataset useful because: 1.) because each new data period will move by a fixed amount (10 pips in this case) the angle (velocity) of price movement is fixed. The only question then is - will the move be up or down? 2.) as such price has now been taken from an analog signal to a digital signal. (No question as to how many pips the market moved - each 10 pips is a new period.) 3.) I can now describe price movement as a series of one's and zero's, with a 1 representing 10 pips up,and a 0 representing 10 pips down. As an example - a move of 50 pips up and then 25 pips down would become 1111100. In terms of AI (and maybe especially NN's) this makes rather a huge difference. 4.) Because of the fixed velocity it is much easier (and more precise) to set my indicators such that I have the best output at this (10 pips/period) rate. However - there is a tradeoff for this - that which traders normally calls momentum is lost (in the normal sense of the word) because momentum is actually related to price velocity and I keep velocity constant. Last edited by jdpnz; 12-20-2007 at 11:08 AM.
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01-02-2008, 01:15 PM
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Our group also offers a bridge from MT4 to Currenex through FIX API. We have a broker who agrees to give us Currenex pricing on Demo MT4 platform and we send orders from MT4 to FIX API to CNX in <30ms.
We are going to start working with neural nets and data mining for optimal moving average distances for entry and exits as a filter for our other systems.
__________________
To know wisdom and instruction.
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01-03-2008, 03:58 PM
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Having not looked at the previously enclosed "BetterEA.zip," It seems we won't even want to mimic the system using the Magic Number, 856. System 854 definitely looks like profitable trades. I'll need to look a bit closer at System 855 to see how profitable it is, or if it's pretty close to break even. I'm actually super busy until next week, but I have some good ideas on engineering something that can accurately mimic what I've been referring to as System 854.
As a side note about doing Neural Networks in MT4, all of my personal, foreseeable applications of Neural Nets won't need a retraining phase any more often than once a week. Since one needs to do some MQL4 trickery for true continuous retraining AND that could potentially eat up too many resources on a given system, I personally plan on doing retraining phases no more than the once a week when my broker feed stops (possibly not even that often). -MRE-
__________________
I'm open to professionally developing EAs. PM me if you're interested.
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