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Profitable Neural Network Strategy
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Profitable Neural Network Strategy

  #61 (permalink)
Trading Apprentice
Port St Lucie, FL
 
Futures Experience: Intermediate
Platform: Tradestation, MultiCharts
Broker/Data: TradeStation/Open e-cry
Favorite Futures: ES
 
Ranger's Avatar
 
Posts: 46 since Jan 2010
Thanks: 9 given, 43 received


Casino View Post
Hi i'm new to posting on here. I was looking for ideas for Tradestation's Easylanguage, and I found this topic.
From What I read in here, am I correct to assume that "ChaosHunter", is an offline program to which you feed historic market data and then it calculates formulas , which are then placed into a specially designed EasyLanguage trading template you have created for live execution?
If that is the case , is there something you have to test on equities, since I do not have a Futures account ?

Thanks

Hi Casino .... you have it partially correct. ChaosHunter is a stand-alone application that uses data that you provide to it as inputs. It then uses canned functions; indicators and Neuron to generate relationships that your choose between your input variables and output variables.

In connection with the Easy Language Template, yes, we have templates that we have used live ... some are posted here as a are sim. trades and live trades. Currently, our design effort is direct towards the money management end of our strategies; real-time model supervision and then we will get back to generating entry/exit signals.

Our templates are pretty simple but what we do with them is cool. For money management, we are developing real-time Monte-Carlo based Prob / Statistics so we can make use of Optimal F, Secure F and other money management techniques using real-time data. Roll-out is probably only a few weeks away. Our real-time supervisor also uses Monte-Carlo method and Probability/Statistic functions, so we can ensure that our key performance statistics are measured in real-time, so action can be taken prior to equity curve draw down(after all, if it shows on the equity curve...you're too late). That will be probably role out a week or two thereafter. We have the Mathematics & Programming down, but we need to finalize and test.

For our entry/exit signal(we consider stops exit signals), we are using some clever neural models; conventional and statistical placements; we also have pyramiding of position; scaling-out.

I don't have a simple equity model, put I'll send you a sample within a week or so just so you can see, how things work. Send my your favorite NYSE symbol, and I'll pull one together for you. In the interim, as I remember it one of the postings contained a simple neural model. Try it on one of your symbols using a (5) minute chart(TRY the TRIX posting), I think that it has two constants in the neural formula that you can optimize for to make current. Give it shot!!

RANGER

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  #62 (permalink)
Trading Apprentice
hartford , ct.
 
Futures Experience: Intermediate
Platform: ninjatrader prodigio
Favorite Futures: ES
 
Posts: 4 since Dec 2011
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All this talk of TRIX

//I had the Multicharts trial for a month and came up with this
// 45%/year BGU 12.14.2012 EOD data
;
inputs: triex(8) ,mfx(7),prx(10),momx(7), BX(10) ,SX(0) ;
inputs:trieW(10),mfW(0),prW(210),momW(111) ;
inputs:limbo(3),limbo2(37),limbo3(2) ;
inputs:trieSS(40),mfSS(200),prSS(130),momSS(350) ;
inputs:trieSW(300),mfSW(100),prSW(111),momSW(222) ,ss(2) ;
inputs:trieTW(480),mfTW(920),prTW(310),momTW(2010) ;
variables:trie(0),mf(0),pr(0),mom(0),tt(0),temp1(0),bb(0),b(0),s(0),temp3(1),lm(0);
variables: w(0) ;
;
trie=TRIX(Close,triex);
mf=MoneyFlow(mfx) ;
pr=PercentR(prx);
mom=Momentum(Close,momx);
;
if trie[0] > trie[3] then tt=tt+1 else tt=tt-1;//heading up/down
if trie[0] >(limbo2*(-1)) then temp1=temp1+1; // zero=limbo mode
if trie[0] < limbo2 then temp1=temp1+1; // zero=limbo mode
if temp1=limbo3 then tt=tt-limbo; // zero=limbo mode
;
bb=((trie[0]/100)-.5)*.8; //buy bias 0-100
tt=tt+(bb*(trieW/100));
bb=((50-mf[0])*(-1)*2)/100;
tt=tt+(bb*(mfW/100));
bb=((50-pr[0])*(-1)*2)/100;
tt=tt+(bb*(prW/100));
bb=(mom[0]*5)/100;
tt=tt+(bb*(momW/100));
;
tt=tt+( ( trie[0]- trie[(trieSS/100)]) / (( trieSS/100) +1))*(trieSW/100) ; // slope
tt=tt+( ( mf[0]- mf[(mfSS/100)]) / (( mfSS/100) +1))*(mfSW/100) ;
tt=tt+( ( pr[0]- pr[(prSS/100)]) / (( prSS/100) +1))*(prSW/100) ;
tt=tt+( (mom[0]-mom[(momSS/100)]) / (( momSS/100)+1))*(momSW/100);
;
tt=tt+(tangent( trie[0]- trie[(trieSS/100)]) / (( trieSS/100) +1))*(trieTW/100) ; // slope angle
tt=tt+(tangent( mf[0]- mf[(mfSS/100)]) / (( mfSS/100) +1))*(mfTW/100) ;
tt=tt+(tangent( pr[0]- pr[(prSS/100)]) / (( prSS/100) +1))*(prTW /100) ;
tt=tt+(tangent(mom[0]-mom[(momSS/100)]) / (( momSS/100)+1))*(momTW/100);
;
w=0;
lm=0;
b=0;
;
if absvalue(trie[0]) < ss then lm=lm+1 else lm=0 ;// no buy near zero trix
;
if lm=0 then w=w+1 ;
if tt> bx then w=w+1 ;
//print (currentdate,tt) ;
if w > 1.9 then Buy("buy")60 Share Next Bar At Open;
if tt < SX then Sell("sell")This Bar On Close ;
;
tt=0;
temp1=0 ;


Last edited by Bob Joy; January 22nd, 2012 at 09:01 PM.
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  #63 (permalink)
Elite Member
London
 
Futures Experience: Beginner
Platform: MultiCharts
 
Posts: 230 since Nov 2010
Thanks: 10 given, 20 received


IF we change the time frame to 15 minutes, it should be go better?
COuld you explain the math forumal of the engine strategy please?

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  #64 (permalink)
Trading Apprentice
hartford , ct.
 
Futures Experience: Intermediate
Platform: ninjatrader prodigio
Favorite Futures: ES
 
Posts: 4 since Dec 2011
Thanks: 1 given, 0 received

All this talk of TRIX

oppsss , Bomberone1 asked me a question in june and I'm replying in november and the date 12.14.2012 must be wrong , records show 01-14-2012

I always use 15 minute charts so your probably correct. The script above used daily data.

I have a limbo mode where it's worthless to trade due to lack of price movement. I have since used a different simpler way.

The label buy bias normalizes the indicators and assigns a weight to their importance. The buy bias label is misleading.

The only thing left is the genetic algorithm WEIGHT of angle and slope of the indicator TRIX, moneyflow, williams percent R, and momentum. This is because I have always traded via graph , and I'm tryimg to automate the whole thing.

all weights are calculated via genetic algorithm

Presently , using VXX without XIV , 5 minute chart , my Profit Factor is 2.7 with $10 per trade , no slippage , $10k


Last edited by Bob Joy; November 18th, 2012 at 10:06 AM.
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  #65 (permalink)
Trading Apprentice
San Diego, CA
 
Futures Experience: Intermediate
Platform: Deciding on Ninja, TS or Openecry. using TS now
Favorite Futures: Guitar ;)
 
Posts: 1 since Nov 2012
Thanks: 0 given, 0 received


Ranger View Post
Uhmmmmm .... it probably exploded on the time constraint. Drop Zac a PM and maybe he will share this with you. I'd do it myself, but I don't have that indicator on this computer because I'm traveling. RANGER

I was tryign to use the updated code and am also Having the same problem with Haawrt failing. I just joined and am trying to figure out what to do next to play with this cool code. Thanks

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  #66 (permalink)
Elite Member
Singapore
 
Futures Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Favorite Futures: Currency Futures
 
Posts: 2 since Dec 2013
Thanks: 2 given, 1 received

Renko or Range Bars

Hi Ranger and Zach,
Not sure if this thread is still alive but was wondering if you guys had tried Renko or Range bars with the development?

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The following user says Thank You to desmond108 for this post:
 
  #67 (permalink)
Trading Apprentice
Manchester
 
Futures Experience: Beginner
Platform: EasyNN-plus
Favorite Futures: Stocks
 
Posts: 1 since Feb 2014
Thanks: 0 given, 1 received

Neural Network design

I'm new to trading forums but not to neural networks. I have been developing neural network applications for decades, first on mainframes and then on the PC platform. So, I may be able to help traders use neural networks and traders may be able to help me trade!

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  #68 (permalink)
Elite Member
Victoria, BC
 
Futures Experience: Master
Platform: Tradestation Multicharts
Favorite Futures: es
 
Posts: 17 since Oct 2011
Thanks: 6 given, 13 received

Learning about this product

Wondered if people are successfully trading models real time which were developed by Chaoshunter. Thanks

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