Help wanted on on statistics / testing approach for prediction - Emini Index Futures Trading | futures io social day trading
futures io futures trading


Help wanted on on statistics / testing approach for prediction
Updated: Views / Replies:1,544 / 16
Created: by aquarian1 Attachments:4

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 4  
 
Thread Tools Search this Thread
 

Help wanted on on statistics / testing approach for prediction

  #11 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 902 since Jul 2012
Thanks: 603 given, 1,785 received


aquarian1 View Post
Thank-you.

No I am not just looking for the set with the highest probability
"Goal
To establish a systematic way of investigating the possible condition sets to the highest probability combinations for a rule set to predict my outcome, which I can then test my searching my database."

If I follow your reply yes D is highest alone. I think in your reply of "joint probabilities" you are referring to "ands".

There will be some days when D does not occur on those days I could have J^G and knowing what their odd of that giving M are would be useful.

Additionally if D^G is lower than D alone and I have a day with a D^G I would like to know that M has become less likely.

I thought that if one has multiple rules forming a set that one could derive a better trading system.

You're most welcome.

I will hint that important rules to bear in mind are that (1) correlation does not imply causation, and (2) description and prescription. Historically, most daily deaths occur on the days I wear black underwear. That's nice to know and very descriptive, but it is probably not a prescriptive relationship.

If you think of it in this way, you don't need formal mathematics to gain an intuition for many statistical problems that you are encountering.

Reply With Quote
The following 3 users say Thank You to artemiso for this post:
 
  #12 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,247 since Dec 2010
Thanks: 1,167 given, 1,760 received
Forum Reputation: Legendary


artemiso View Post
Thanks.

Actually, my solution is in the general form and true even for dependent variables. In the special case that {Xi, i is a positive integer} is a collection of pairwise independent variables, you can further decompose the conditional probability P(Xj | Xk) = P(Xj) and P(Xi & Xj) = P(Xi)*P(Xj).

I think what you're meaning to say is that it doesn't solve the problem if each of the random variables {Xi, i is a positive integer} is itself a member of some non-stationary stochastic process. I thank you for pointing out. Well, that's an issue with @aquarian1's methodology...

@artemiso


I was hoping there might be a better methodology/approach and there would be others who understand the problem better. This is why I asked for help and started the thread.

Your reply is too scholarly for me to understand:
"each of the random variables is itself a member of some non-stationary stochastic process."

1. I do not believe the variable are independent. As stated they are all based on the same data series -specifically EOD data for the ES. I would expect that they are non-independent.

2. I do understand that correlation is not causation, but I believe I am a long way from there and it is like sinking the boat before I can even find it! One has to start somewhere. I'm still in the water.

Your reply does not seem to offer an alternative approach.

Keep your mind in the future, in the now.

Last edited by aquarian1; July 4th, 2014 at 05:08 PM.
Reply With Quote
 
  #13 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received



aquarian1 View Post
@artemiso

Thank-you.
I was hoping there might be a better methodology/approach and there would be others who understand the problem better. This is why I asked for help and started the thread.

Your reply is too scholarly for me to understand:
"each of the random variables is itself a member of some non-stationary stochastic process."

1. I do not believe the variable are independent. As stated they are all based on the same data series -specifically EOD data for the ES. I would expect that they are non-independent.

2. I do understand that correlation is not causation, but I believe I am a long way from there and it is like sinking the boat before I can even find it! One has to start somewhere. I'm still in the water.

Your reply does not seem to offer an alternative approach.

@aquarian1,

I am stuck a bit with the "classifications" of the EOD closes. Is each day assigned one such class or are multiple classes assigned to each day?

So is the following something like the language?
- A = Close Up from previous day
- B = Close Up from previous day by large amount
- C = Close Down from Previous day
- D = Close Down from Previous day by Large amount

Or do they classes reach back further?
- A = Closed up 1 day in a row
- B = Closed up 2 days in a row
- C = Closed up 3 days in a row

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
Reply With Quote
 
  #14 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


aquarian1 View Post
I am looking for help on statistics / testing approach to search for rule sets for increased probabilities of certain outcomes.

Situation
I have a database of conditions for EOD results from 1 Feb 2012 forward to 27 June 2014. This equals 605 records.
Each condition has a letter associated with it and these go from A to U.
I want to establish a rule set which will give the highest predictive strength of a condition of the next day's, my desired predicted outcome. (e.g M)

Goal
To establish a systematic way of investigating the possible condition sets to the highest probability combinations for a rule set to predict my outcome, which I can then test my searching my database.

Here is where I am at:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


My goal would be something like a set of rules such as:
1. If D^G and G^J and d^~J then M will happen 68% of the time.
2. If pair 1 or 2 and not pair N1b M will happen 50% of the time.

Perhaps Venn diagrams would be helpful in determining the best rule sets?

I am looking for ideas on an approach to find a solution just as much as a solution.

Thanks in advance.

-----------
Clarifying notes:
1. "^" symbol = the AND condition so D^G is "both D ^ G occur"
2. In the table of occurrences of individual conditions D occurred 223 of 390 records or 57.2% of the time M happened the next day. The percentage on the right 12.4% = 223 of 1796 and is just a relative strength %.
3. "~" symbol = NOT

Hummmm....

I am starting to get your approach. I think Rapid Miner may help as I think you have created a class of "things":
A, B, C, D, E,... U

What I think might help here is to develop a Fitness function. So create a function that does something like what you have stated, but I think of it this way:
Fitness=k1*A+k2*B+...+Kx*U

You can then use a generic algorithm to "search" this function to maximize the fitness function. k1, k2 ... kx are likely one of 3 values -1, 0, +1 (NOT, absent, Present).

This is the approach I would likely take to solve this as you have stated you have ~20 possible input combinations which leads to a very large search space.

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
Reply With Quote
The following user says Thank You to NJAMC for this post:
 
  #15 (permalink)
The fun is in the numbers
Point Roberts, WA, USA
 
Futures Experience: Advanced
Platform: IB and free NT
Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,247 since Dec 2010
Thanks: 1,167 given, 1,760 received
Forum Reputation: Legendary


NJAMC View Post
@aquarian1,

I am stuck a bit with the "classifications" of the EOD closes. Is each day assigned one such class or are multiple classes assigned to each day?

So is the following something like the language?
- A = Close Up from previous day
- B = Close Up from previous day by large amount
- C = Close Down from Previous day
- D = Close Down from Previous day by Large amount

Or do they classes reach back further?
- A = Closed up 1 day in a row
- B = Closed up 2 days in a row
- C = Closed up 3 days in a row

It is
"specifically EOD data for the ES"
not EOD closes.

So not what you posted - which would certainly be a some very good things to consider. later.
I have not got that far yet.

Keep your mind in the future, in the now.
Reply With Quote
 
  #16 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


aquarian1 View Post
It is
"specifically EOD data for the ES"
not EOD closes.

So not what you posted - which would certainly be a some very good things to consider. later.
I have not got that far yet.

Hummmm.... Okay,

So the letters represent "features" that occurred that day?

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
Reply With Quote
 
  #17 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,123 since Dec 2013
Thanks: 1,749 given, 3,360 received
Forum Reputation: Legendary


NJAMC View Post
Hummmm....

I am starting to get your approach. I think Rapid Miner may help as I think you have created a class of "things":
A, B, C, D, E,... U

What I think might help here is to develop a Fitness function. So create a function that does something like what you have stated, but I think of it this way:
Fitness=k1*A+k2*B+...+Kx*U

You can then use a generic algorithm to "search" this function to maximize the fitness function. k1, k2 ... kx are likely one of 3 values -1, 0, +1 (NOT, absent, Present).

This is the approach I would likely take to solve this as you have stated you have ~20 possible input combinations which leads to a very large search space.

Thought you might like this thread...

Reply With Quote

Reply



futures io > > > > Help wanted on on statistics / testing approach for prediction

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Has anyoine heard of this prediction tool? rodbuilder Traders Hideout 5 January 31st, 2014 06:39 PM
Help wanted on Range Expansion prediction. New traders ideas welcome! aquarian1 Emini Index Futures Trading 18 May 10th, 2013 09:50 PM
Volatility and volume before each open prediction Steele NinjaTrader 2 February 18th, 2013 11:40 AM
Recovering from the trap of Prediction Surly Psychology and Money Management 7 May 17th, 2011 06:36 PM
New Years Prediction, where will the market be? Big Mike Traders Hideout 21 December 8th, 2009 06:55 AM


All times are GMT -4. The time now is 07:43 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.13 seconds with 34 queries on phoenix via your IP 54.163.209.109