Da, I have built quite a few ANN models. Several of them had been (and I think still are) used to manage portfolios with AUM in tens of billions. Let me save you some time - if you are going to optimize thousands of parameters, you will most definitely overfit the data. Your model will perform spectacularly in the backtest and will fail in actal trading.
I can give you a litany of other problems that you will encounter. You will have no clue whether your forecasts come from densely or sparsely populated sample space, i.e. confidence intervals of your forecasts will vary greatly. When your model fails, you will not know if it is part of normal operation or if there has been a structural shift. If you are determined to explore non-linear interactions for prediction, you will get much more consistent and much more intuitive results using N-nearest neighbor algorithm. NNN has no parameters to optimize, requires no training and can be updated in real time - which is very important for HFT. As long as your original hypothesis for your model makes sense, you will be able to understand the basis for the predictions. Good luck. ________________________________ From: Da Xu <[email protected]> To: [email protected] Sent: Thu, February 24, 2011 6:41:18 PM Subject: Re: [JBookTrader] Poll for new features As I posted before, I woud like to develop artificial neural networks strategy on JBT. We have to add thousands of parameters and change the optimization class. I have been focusing on this project for a couple of months. Are there anyone that is interested in ANN strategy? Da On Wed, Feb 23, 2011 at 3:19 PM, nonlinear <[email protected]> wrote: Do JBT users have a "wish list" for the new JBT features/functionality? If so, please post them here. >-- >You received this message because you are subscribed to the Google Groups >"JBookTrader" group. >To post to this group, send email to [email protected]. >To unsubscribe from this group, send email to >[email protected]. >For more options, visit this group at >http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
