[michael]

Thanks Tovim , i will run them in the morning , bit tired now .

Will let you know . Cheers.

Michael.

[michael]

Hi Nate , try this .

On your first computer , save the template incase it goes wrong.

Have a folder on your desktop that is shared between both computers.

Save the Template with a new name in that folder .

It will have the Template ending .

But obviously it won´t run on the second computer unless you have changed

the access for NSDT . Unless you have 2 NSDT licences .

So when you goto open the template each time you have to go back to that folder .

 

 

[michael]

Oops , I forgot the network guy did put a folder that was mapped to the cloud on my computer , Then access it as a normal folder .

 

[michael]

Hi Nate,

I think you need to get a network engineer to make a robust method of

storing your models on the cloud platforms.

If you want to run the NSDT on the cloud you will need to upload a VM , Virtual machine , to do this . It does work but it is a pain in the ass.

I have used AWS, AZURE , GC , they are not user friendly unless you are a network specialist.

Remember the software can only operate at up to 24 cores or threads, as Denham pointed out to me. I found it ran the quickest at 22 threads.

Using the Cloud to run it is expensive as you need to pay the microsoft license fee.

So i would , map a folder on your desktop to the cloud , save the models there , and then access the folder via NSDT . I have tons of models in different folders on the desktop .

Good luck

[michael]

Here is an interesting idea ,

In the predictor you can stop the model training at any stage and keep that model, but with the tp2 running in the TS , if the TP2 is calculating each bar and it is taking a long time , therefore if i stop it early it has not calculated each bar only some of them. As in stopping it early in a walk forward it has only completed the ones that have been optimized.

 

So if i stop a TP2 running early in the TS , I am only seeing results from however many bars were done in that time frame . So if i look at the results eg GP/GL , Ratio win/loss avg win, % win etc . So if i leave the TS running with the TP2 for say 6 hours and then stop it . I am wondering if i could say that approximately i have the ratios that i want to compare ?? As the ratios are not changing or they have not changed for a long time .?

[michael]

What i am planning on doing after the TS has finished is to go into the trading rules and see what values it has come up for the inputs and then see if i can narrow some of the ranges on the inputs . Eg bars back on an input restrict to say 1 to 5 instead of 1 to 10 , etc .

[michael]

Good morning Roach , How did you get along with your back testing ideas ?

You can contact me on Matheson2090@gmail.com

Michael.

[michael]

hi ronny , that long value at the end is the current market value , not a signal,

it is used for calculating the profit or loss .

[michael]

Thank you for the update , so just to clarify what I think it is .

Example Model in Predictor , in sample and the final model is

Input 1 , % change High = 10%

Input 2 , % change Low = 20%

Input 3 , % change Close = 30%

Input 4 , TP2 set to retrain on each bar = 40%

<hr />

on the next bar the predictor applies the same percentages to the  inputs but

the TP2 is the only thing that is retrained in that, within the TP2 not the model in the predictor.

so in a very basic manner , very very basic .

Model is

Input 1 * 10%  + input 2 * 20 %  + input 3 * 30%  +Input 4 (tp 3  Input 1 *11 + input 2 *22  + input 3 *33 ) * 40% .

On the next bar

Input 1 * 10%  + input 2 * 20 %  + input 3 * 30%  +Input 4 (tp 3  Input 1 *5+ input 2 *10+ input 3 *37) * 40%.

Note that only the values inside the TP3 have been retrained to new values but the weightings for the predictor model stay the same .

As i said just a very basic idea of how i think the TP2 runs inside a prediction .

 

I was using the percentages just as an example , the weightings of their importance .

Regards

Michael.

 

[michael]

Hi Roach ,

I probably take a very different view on how to use the NSDT , why ?

Well a long time ago , i was talking to steve ward about what I wanted to do , at that stage they did not have the NSDT , so i had to use the engine . Steve told me a couple of books to read about NN and GA , don´t worry about the mathematics but try and understand the reasoning. Very expensive books , maybe Denham or Marge might be able to supply you with names.

I usually set the TP2 in a prediction to try and predict the same thing as the Prediction,

As I only retrain it once a day before the market opens, so that it is based around the the current price level , it will be the last model in the prediction that is used for the day.This could be my problem and knowing when to retrain is more important.

Based on other literature that I have read , running an NN inside another NN is possible and can work , it is all about building a system , so i think you can run an NN inside another NN , that is why i do not use the close , i use percentage change and in excel i use the natural log and multiply it by 100 , because the i want the inputs and outputs to be roughly the same size, to match how the NSDT calculates percentage change.

I added the 3 % changes and notice i gave it the choice of selecting High or Low , i had put in High first and low second , then added the other 2 . It selected the low first and then the high second. Changing the order of inputs is a very good idea. Also try taking out the TP2 and see if it gives you the same result , I am assuming that the TP2 and the Predictor are using a linear calculation. ( i could be very wrong about that)

Remember if you are using the TP2 in the predictor as this is where i could be totally wrong, the out of sample is based on the last model in the TP2 , I am not sure if it fires on each new bar , my assumption is that it does not based on the idea that the predictor is saying apply this criteria, the prediction is therefore on the inputs it selected on the last best model, as long as it is consistent .

When i use the TP2 in a prediction , I am trying to predict the value and not a trading system, i use Minimize error  or MSE . Then take the prediction signal into the TS .

Let me know if that helps you and you can ask Denham and Marge , they know a lot more than I do .

Back to work for me . Have a good week .

Michael.

 

[michael]

Morning , I went through your model , i made changes to it ,

All i can guess is that the last model in the AT2 is the one that is used in the out of sample

data , so when you are using all of the data ..you are training them

when you have the paper trading , it comes up with a model , then applies that to the out of sample.

I think that is why they say to use the AT2 in the Trading strategy and use all the data ,

that way it should be the retrained model on each bar , if you pick retrain each bar , obviously.

Denham sent me a message saying that using the AT2 in the predictor is like puttting a NN inside a NN , and that having it solo, it may just lock in on something, i would need to add something else , which is what i did to your models. Percentage change in high low close , ( plus gave the predictor the option to choose between high and low .)

number of inputs was increased to 5 , hidden neurons in one is 12  and 10 in the other .

Then i took Prediction 4 and put it in a Trading Strategy , which is the bottom net profit graph .

Hope this gives you a couple of ideas .

I am still working on finding an exit strategy, drawdown of 40 percent in 2 days, it stops trading if it is the wrong way round and the stops are so far away , not good , trying to use volatility , points percentage , nothing working . Back to the drawing board .AT2-Costco-Regression-Modified-by-Mike

 

Attachments:

You must be logged in to access attached files.

[michael]

Good morning Roach ,

Well as I have only recently been using the ATP2 , so my information should be taken with a large grain of salt.

As I understand , as the ATP2 retrains on the number of bars and the retraining number of bars that you set ,so i have not been using walk forward or paper trading on it .

I just ran one of my models with a paper trading period in it , i got the exact same results on the out of sample as I had with out the paper trading. No change .

I am in the same boat as you regarding the back testing , what i am looking at is consistency, that is i am looking at the ratios and if they are roughly the same .

Do not throw out a model just because it failed , if it fails consistently , you can still trade it .

Have i set enough out of sample data to compare to the training , the way i am doing this is , using 1 minute and 5 minute data , setting up the model and then running it live for a day a time , trading only exchange hours. End of days trading terminates any open position.

Then i check to see if the model traded roughly the same number of times , are the Ratios roughly the same .

I was an EOD trader , a lot easier in some regards , run a prediction once a day put it in excel, and only trade at the open, but be prepared for huge swings and drawdowns , therefore very small positions .

So i am just getting back into intraday trading ,so my my main points at the moment, are finding the right exit points for limit orders and stop loss . I have not got the limit orders to work as I think they should, but more importantly it is the stop loss levels that are the hardest to determine.

I have a great model as long as the market stays within the right range , see last 2 weeks, not going to happen.

So my point is that the consistency is the most important factor for testing using the ATP2 , during the day when i am testing things i usually lock as many of the inputs as i can , to save on time . Over night , it can run with everything unlocked , so during the day i have locked , bars back at 200 , days forward , hidden neurons ,training period .

Roach if you know how to set up the limit orders let me know , i have been using the target price but i want to change that to a limit price . If i set the target price in the limit box at the bottom , not getting what i thought i should get .

Have a great weekend

Michael

 

[michael]

June19Newsletter-version-5

Attachments:

You must be logged in to access attached files.

[michael]

Thanks for that , i found out how to solve the problem ,

as i am doing pre organizing of data in excel , i added  another column

based on the third friday and it is working perfectly.

I get my one week holiday every quarter.

Michael.

 

[michael]

thanks for that , will wait until tomorrow , give them at least 2.5 days to reply