Astor, have you backtested successfully any NNN strategy? Can you share its results??
cheers On Fri, Feb 25, 2011 at 4:20 AM, Astor <[email protected]> wrote: > 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. > -- 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.
