userque's Account talk

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userque said:
Thanks airlift. You are correct. But I'm not really ready to go after the real high frequency programs; at least not the ones that trade several time per minute. :) However, if I am successful going forward, due to the fractal nature of the markets, I see it as possible that I could continue to eventually morph a NN into just such a system. A lot of other factors would also have to be in play as well (extremely fast internet connection, powerful computer system, best data feed, etc.)



I started via Google searches, of course. Then specialized searches, included limiting results to .edu domains. Etc. One site I hold in high regard concerning Artificial Neural Networks is:

comp.ai.neural-nets FAQ, Part 1 of 7: Introduction



I started out trading and testing under the "userque" trader. (Which is why the number are so poor for me right now.) I then narrowed my testing range, and made separate individual NN's for each strategy, and named them accordingly. I wanted to use them to forward test my different strategies. I then developed what I called my Unified Theory of Trading (or something like that:rolleyes:) This extremely customized NN system was able to back-test itself, and could be easily (or sometimes, not) modified to trade within any/most restrictions I give it (TSP-2 trades/mo., IRA-3 day restrictions, etc.)

This made the forward tests obsolete (except for verification), so I discontinued some of my "trader" bots, and the others that are left all trade in lock-step based on the same signals.

I spent most of my time thus far perfecting the base NN...the day/swing trading one. It's the one from which all others are derived. I've recently "finished" the TSP NN. Starting in August, my TSP trades will be fully based upon NN technologies. I'll mirror my trades on the AutoTracker.

I currently don't post its trades, but I've also recently finished a NN optimized to trade within IRA restrictions.



Oops, TNA.:)
Click to expand...

Userque,

Thank you for the comprehensive explanation. Questions: Since TNA gapped up, instead of gapping down, the open did not conform to the best expectations. Have you changed your view that instead of short, you should have remained long TNA? Also, are you assuming for all practical purposes that since TZA is the inverse small cap 3x leveraged fund, it should behave mostly in such contrary fashion in relation to TNA? or would your system, experience and observations require one to short TNA specifically? Thank you again for your detailed guidance regarding your system.
 
airlift said:
Userque,

Thank you for the comprehensive explanation. Questions: Since TNA gapped up, instead of gapping down, the open did not conform to the best expectations. Have you changed your view that instead of short, you should have remained long TNA? Also, are you assuming for all practical purposes that since TZA is the inverse small cap 3x leveraged fund, it should behave mostly in such contrary fashion in relation to TNA? or would your system, experience and observations require one to short TNA specifically? Thank you again for your detailed guidance regarding your system.
Click to expand...

You're welcome!. Actually, futures (Russell 2000) were down just prior to the open and TNA did gap down. It opened at 75.44. It closed yesterday at 75.66. And, I was Short TNA since yesterday's close.

My thoughts went like this:

Since my system's last reliable signal was Long, I should have remained Long rather than Short. I discovered that my system really didn't have an answer for today: that it essentially could have chosen Long or Short for today as neither one would have affected its back-testing results. So it essentially chose a position at random. This is a rare occurrence and only happened because it had not seen yesterday's price action within it's database (about 4 years of historical data so far). So it had no real idea about today.

Since this is the first time I've noticed this type of scenario, I wasn't looking for it and hadn't planned for it. I was thinking last night that a way to handle this type of rare scenario would be to simple Hold the current position, whatever it is.

So, since I was Long prior to going Short at yesterday's close; I just put myself Long at today's open...If there were a big gap up (strong futures). I would have remained Short instead.

Yes, you can short TNA or go long TZA, or vise versa. They are inverse in the short term (days). In a non-margin account (IRA, etc.) I would use TZA. The NN works the same in either case.

:)
 
userque said:
Since this is the first time I've noticed this type of scenario, I wasn't looking for it and hadn't planned for it. I was thinking last night that a way to handle this type of rare scenario would be to simple Hold the current position, whatever it is.
Click to expand...

gotta love fuzzy logic :cool:
 
userque said:
You're welcome!. Actually, futures (Russell 2000) were down just prior to the open and TNA did gap down. It opened at 75.44. It closed yesterday at 75.66. And, I was Short TNA since yesterday's close.

My thoughts went like this:

Since my system's last reliable signal was Long, I should have remained Long rather than Short. I discovered that my system really didn't have an answer for today: that it essentially could have chosen Long or Short for today as neither one would have affected its back-testing results. So it essentially chose a position at random. This is a rare occurrence and only happened because it had not seen yesterday's price action within it's database (about 4 years of historical data so far). So it had no real idea about today.

Since this is the first time I've noticed this type of scenario, I wasn't looking for it and hadn't planned for it. I was thinking last night that a way to handle this type of rare scenario would be to simple Hold the current position, whatever it is.

So, since I was Long prior to going Short at yesterday's close; I just put myself Long at today's open...If there were a big gap up (strong futures). I would have remained Short instead.

Yes, you can short TNA or go long TZA, or vise versa. They are inverse in the short term (days). In a non-margin account (IRA, etc.) I would use TZA. The NN works the same in either case.

:)
Click to expand...

Userque,

I beg your patience. but I was under the impression that TNA/TZA are more leveraged to the 3x iShares Russell 2000 ETF (IWM), instead of the RUT directly. Would differences between these two be unimportant? or is an adjustment unnecessary? Thank you.
 
airlift said:
Userque,

I beg your patience. but I was under the impression that TNA/TZA are more leveraged to the 3x iShares Russell 2000 ETF (IWM), instead of the RUT directly. Would differences between these two be unimportant? or is an adjustment unnecessary? Thank you.
Click to expand...

I don't think there's much of a difference (if any?). In fact, my NN is based on W4500. It works "good enough" for now until I fix that issue later on.:)
 
No Cash Positions for ANN​

Several days ago, I reported that I had given ANN (Artificial Neural Network) the ability to go to Cash. Well, I discovered she very seldom chose that option, when I analysed her internal data (about four years so far). So, I thought it would better to free up computational resources and remove the Cash option. I did that a few days ago.
 
jpcavin said:
That's not what I meant. You laughed at my song choice, so one less angry person. :-)
Click to expand...

lol. Got it. Applies both ways ;)

For the record, chat rooms don't make me angry. And for the life of me, I can't understand why folks get so emotional (grown folks) via a chat room. Nevertheless, right is right. Don't accuse members publicly, especially falsely. Don't call them annoying when they call you on it. BUT, I'll live. All is well.:blink:

Nevertheless, I'll honor my words to EbbCharts and finish out the year; then leave the folks here to their own devices.:(

Now, back to my music videos:)
 
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