| StockFetcher Forums · Stock Picks and Trading · XIV NEURAL NETWORK TRADING SYSTEM - EVALUATION AND NIGHTLY SIGNALS (READ-ONLY) | << 1 2 3 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #135696 - Ignore Kevin_in_GA |
4/30/2017 12:31:54 PM This thread will document trading results from a series of neural network-derived trading systems for long only trades of XIV. Not entirely sure how long I will keep updating this information - probably looking at roughly 6 months of real-time trade results to see if the systems are trading as predicted. This will be a read-only thread, but will contain the nightly signals from each system which are to be entered at the open of the market the next day. I will be trading these within my accounts as well - small trades at first but I'll increase the trade size if the performance warrants. Given that XIV trades over 8 million shares each day I doubt that a bunch of folks from SF, even placing all trades simultaneously, could affect the price of the ETF - so why not share the signals? What I cannot do here is share the system details - being derived using neural networks, the specific inputs and weighting factors are not visible. These types of systems are very "black box" in nature, and require periodic re-learning to stay fresh. I do know that for the geeks out there the basic NN structure is 3 layers with 30 "neurons" per layer, slow chaotic with a training period of 18 months and an out-of-sample period of 6 months. Of all the permutations I looked at, this was the default setting and actually worked out the best. I then re-ran with these settings about 20 times - even with the same data inputs, the neural network learning follows a different path each time. I kept the top 10 in terms of overall performance (return on equity, percent profitable, profit factor). Looking at the returns and specific trades, these systems are similar but no two are the same. Here are the system performance results for the last two years:
SIGNALS FOR TOMORROW
For this post, I'll assign $10,000 to each model, and trade it only when I get a buy/sell signal for that model. The current long position in XIV_02 was entered on Friday so I will treat that as a new BUY signal. The SELL signal in XIV_05 was on a trade also entered on Friday at the open, so I am ignoring it for this exercise. I will go Long XIV at the open for a total of $30,000 on Monday May 01 to start this real-time validation of the system. |
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| Kevin_in_GA 4,599 posts msg #135705 - Ignore Kevin_in_GA modified |
5/1/2017 9:48:22 AM
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| Kevin_in_GA 4,599 posts msg #135708 - Ignore Kevin_in_GA |
5/1/2017 7:57:21 PM SIGNALS FOR TOMORROW - 02 MAY 2017
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| Kevin_in_GA 4,599 posts msg #135717 - Ignore Kevin_in_GA |
5/2/2017 10:17:07 AM
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| Kevin_in_GA 4,599 posts msg #135728 - Ignore Kevin_in_GA modified |
5/2/2017 9:05:24 PM NO NEW SIGNALS FOR TOMORROW 03 MAY 2017. In looking at the trade entries for each of the 10 network models over the past two years, it is pretty easy to see that they are small variations of the same basic neural network. Not as much differentiation as I would like to see. I'll look at alternative models during this down time, with the objective of finding differentiated NN models that have similar performance but have clearly different entry and exit criteria. I'll post what info I can on each model over the next few days. |
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| Kevin_in_GA 4,599 posts msg #135731 - Ignore Kevin_in_GA |
5/3/2017 3:12:53 PM After realizing the high correlation of trades within the current 10 neural network models (all derived from the same construction parameters) I went back and approached this with more rigor. Starting from scratch I built 36 unique models, varying each of the model input parameters, and compared outcomes based on total profit, percent profitable, and profit factor. I was able to find 6 very good performers, covering a fair amount of the total input variable "space". I believe that this approach makes more sense than what I had done earlier. My hope is that these will not trade as a large block but some models will find and enter trades that the others are not triggering. I do notice that they all do catch certain phases of a trade, which is usually profitable. Going forward I will be assigning each trade signal a 1/5th equity allocation ($10,000 out of a total of $50,000). This is a fixed bet, meaning that even if I double my equity I would still only place $10,000 per trade/ I will track this nightly and provide folks here the trading signals each night for any trades to be opened/closed the following day. Here are the model parameters and performance stats for each of the 6 models I will be using:
Currently none of these models are in a trade. I'll post any signals tonight. |
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| Kevin_in_GA 4,599 posts msg #135734 - Ignore Kevin_in_GA |
5/3/2017 9:41:07 PM SIGNALS FOR TOMORROW 04 MAY 2017 XIV1: NONE XIV2: NONE XIV3: NONE XIV4: NONE XIV5: BUY AT OPEN XIV6: BUY AT OPEN I will be placing 2 buy orders (out of 5 total), each for $10,000 and will track their progress here. |
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| Kevin_in_GA 4,599 posts msg #135744 - Ignore Kevin_in_GA |
5/4/2017 11:57:12 AM
I will try to keep this table updated every night as long as there are open trades. |
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| Kevin_in_GA 4,599 posts msg #135751 - Ignore Kevin_in_GA |
5/4/2017 7:09:20 PM
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| Kevin_in_GA 4,599 posts msg #135755 - Ignore Kevin_in_GA |
5/5/2017 9:39:22 AM
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| StockFetcher Forums · Stock Picks and Trading · XIV NEURAL NETWORK TRADING SYSTEM - EVALUATION AND NIGHTLY SIGNALS (READ-ONLY) | << 1 2 3 >>Post Follow-up |
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