Here is an open source Java code for K-NN. I have never used it, just came across accidentally.http://www.fit.vutbr.cz/research/prod/index.php?id=100¬itle=1
________________________________ From: Da Xu <[email protected]> To: [email protected] Sent: Fri, February 25, 2011 9:02:00 PM Subject: Re: [JBookTrader] Poll for new features Astor, Thank you very much for your message. Yes. Overfitting the data will be a problem. I guess I will have to train my ANN program using historical data with a long period and then do the forward testing. This might lower the risk of overfitting data. Since ANN algorithm is in fact a black box algorithm, we can do nothing to tell whether the failure is due to a structural shift or a just normal operation. I don't have any experience of NNN algorithm. I searched Wikipedia. It looks very interesting. Could you recommend me any paper, book or source code about NNN algorithm? Best, Da On Thu, Feb 24, 2011 at 10:20 PM, 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. -- 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.
