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Neural Network anyone?

  • Post #1
  • Quote
  • First Post: Nov 16, 2007 5:49am Nov 16, 2007 5:49am
  •  ubeee
  • | Joined Oct 2007 | Status: EURUSD 1.9999/2.0000 | 94 Posts
I was wondering if there is someone on this forum that have had any experience with commercial neural network softwares for financial markets.
I'm referring to softwares like NeuroShell, TradingsSlutions and the like, and not to end-user systems like VantagePoint.

Specifically I'm interested in the possibility to:
1) define the topology of the net on my own, or having that determined genetically
2) build committees of networks
3) THE MOST IMPORTANT ONE: speed of training and genetic evolution

Time ago I worked extensively on neural networks with an NN framework completely written on my own. I ended up with a very good profitable system. Unfortunately I was never able to use it because in order to work I had to create a new committee of 40 networks every week, genetically determining their inputs and training all of the 40 nets on 1 minute bars of some previous weeks market data. On every new week I had to throw away the old committee and create a new one.

The problem was that the whole building process required at least 10 days of computation despite I was able to work in parallel with 8 speed PC.
I made all of my best to optimize my code in order to have the committees be built and trained in the lasting of a week-end, but I was not able and had to give up.

Is there someone that have any experience with commercial neural network softwares and nets with, say, 40-80 inputs, being trained in big quantities (40 or more) in less then 48 hours?
.Ubeee.
  • Post #2
  • Quote
  • Nov 27, 2007 2:46pm Nov 27, 2007 2:46pm
  •  FXAnalytics
  • | Commercial Member | Joined Oct 2007 | 266 Posts
Quoting ubeee
Disliked
I was wondering if there is someone on this forum that have had any experience with commercial neural network softwares for financial markets.
I'm referring to softwares like NeuroShell, TradingsSlutions and the like, and not to end-user systems like VantagePoint.

Specifically I'm interested in the possibility to:
1) define the topology of the net on my own, or having that determined genetically
2) build committees of networks
3) THE MOST IMPORTANT ONE: speed of training and genetic evolution

Time ago I worked extensively on neural networks with an NN framework completely written on my own. I ended up with a very good profitable system. Unfortunately I was never able to use it because in order to work I had to create a new committee of 40 networks every week, genetically determining their inputs and training all of the 40 nets on 1 minute bars of some previous weeks market data. On every new week I had to throw away the old committee and create a new one.

The problem was that the whole building process required at least 10 days of computation despite I was able to work in parallel with 8 speed PC.
I made all of my best to optimize my code in order to have the committees be built and trained in the lasting of a week-end, but I was not able and had to give up.

Is there someone that have any experience with commercial neural network softwares and nets with, say, 40-80 inputs, being trained in big quantities (40 or more) in less then 48 hours?
Ignored
You've just hit the crux of the problem... The algorithms have to be constantly updated to adjust for shifts in market dynamics, but the processing time to get a good fit is the bottle neck. You're on the right track with the parallel processing, you just need more nodes; a lot more. I know there are firms out there that are using several hundred to regress the high-frequency data. You can move out to a less sensitive time series, but then the forecasting accuracy drops off and you experience a lot more noise in the portfolio...

Beef up your processing back bone if you can (and really want to use this appraoch)...
Trade Small. Be Patient. Learn to Survive.
 
 
  • Post #3
  • Quote
  • Jun 18, 2008 6:03pm Jun 18, 2008 6:03pm
  •  brenta929
  • | Joined Jun 2008 | Status: Member | 10 Posts
Ubeee,

I would love to pick your brain...

I am currently working with MatLab to create my NNs and have already created a dll to talk with MetaTrader. The hard part now is a good network.
Any pointers would be greatly appreciated.


Brent
 
 
  • Post #4
  • Quote
  • Feb 3, 2009 11:35pm Feb 3, 2009 11:35pm
  •  muyuan11
  • | Joined Jul 2007 | Status: Member | 82 Posts
Quoting ubeee
Disliked
I was wondering if there is someone on this forum that have had any experience with commercial neural network softwares for financial markets.
I'm referring to softwares like NeuroShell, TradingsSlutions and the like, and not to end-user systems like VantagePoint.

Specifically I'm interested in the possibility to:
1) define the topology of the net on my own, or having that determined genetically
2) build committees of networks
3) THE MOST IMPORTANT ONE: speed of training and genetic evolution

Time ago I worked extensively on neural networks...
Ignored

I think you do can use other arithmetic (SVM PNN RBF) ,some of these is very quicker than train NN , PNN only for classifiction ,SVM(my favorite) both for classifiction and regression (good generalization but not sesitive to noise) , SVM and PNN have good train speed . SVM toolbox for matlab is libsvm(can download from web) and there is PNN toolbox in matlab.
 
 
  • Post #5
  • Quote
  • Feb 3, 2009 11:40pm Feb 3, 2009 11:40pm
  •  muyuan11
  • | Joined Jul 2007 | Status: Member | 82 Posts
Quoting ubeee
Disliked
I was wondering if there is someone on this forum that have had any

Specifically I'm interested in the possibility to:

2) build committees of networks
Ignored
why is committees . and what is committees of networks . befor I just train one network , I can't understand it . and I have send private massege to your ask for your contact info to share our idea .hope you reply me soon , waiting you.
 
 
  • Post #6
  • Quote
  • Feb 4, 2009 7:21am Feb 4, 2009 7:21am
  •  jordanknight
  • | Joined Oct 2007 | Status: PrecisionTypeA Trader | 32 Posts
Came accross PNN that self learns, unlike other NN that needs separate trainer mq4. The discussion is still in experimental level though
Here's the link to MQL4 Forum
http://forum.mql4.com/19239
Adaptive autotrading is the future...
 
 
  • Post #7
  • Quote
  • Feb 4, 2009 10:33am Feb 4, 2009 10:33am
  •  at120
  • | Joined Feb 2008 | Status: Member | 32 Posts
Look at NeuroShell (Day Trader) Software.
I'm studing at the moment, it's a very powerful software, where you can setup your own networks as you like, do price action, indicator, prohability, etc... I now just to have figure out HOW to setup profitable, but I know there some guys out there make good money with it...
Code is optimized for speed, etc...
Datafeed/Order mgt. is possible through "plugins".

Bye at
 
 
  • Post #8
  • Quote
  • Feb 7, 2009 11:11pm Feb 7, 2009 11:11pm
  •  muyuan11
  • | Joined Jul 2007 | Status: Member | 82 Posts
Quoting at120
Disliked
Look at NeuroShell (Day Trader) Software.
I'm studing at the moment, it's a very powerful software, where you can setup your own networks as you like, do price action, indicator, prohability, etc... I now just to have figure out HOW to setup profitable, but I know there some guys out there make good money with it...
Code is optimized for speed, etc...
Datafeed/Order mgt. is possible through "plugins".

Bye at
Ignored
some said NeuroShell repaint signal . (so I think it is dangerouse to use it)
 
 
  • Post #9
  • Quote
  • Feb 8, 2009 4:11am Feb 8, 2009 4:11am
  •  zenocorp
  • | Joined Oct 2006 | Status: Member | 6 Posts
i still remember i took a subject called AI artificial inteligence during my final semester as one of our elective subject for electrical engineering. there is one section call neural network. it sound sophisticated but human mind is better. hehe juz my point of view.
 
 
  • Post #10
  • Quote
  • Feb 12, 2009 8:22am Feb 12, 2009 8:22am
  •  at120
  • | Joined Feb 2008 | Status: Member | 32 Posts
repainting... how is repainting defined?
those peolpe how tell you that a "tick-indi", are repainting, are the same who say NS is repainting?
For me it's a changed market condition, were you or NN has to adapt, but this depends on the setup you use.

@zenocorp: have also had some subjects about automatic control engineering and there the topic was, fuzzy logic and NNs. :-) But agree, A.I. won't beat a human brain.

bye, at
 
 
  • Post #11
  • Quote
  • May 13, 2010 8:40am May 13, 2010 8:40am
  •  Bwana
  • | Joined May 2009 | Status: Pip Pip Hooray! | 132 Posts
Quoting ubeee
Disliked
I was wondering if there is someone on this forum that have had any experience with commercial neural network softwares for financial markets.
I'm referring to softwares like NeuroShell, TradingsSlutions and the like, and not to end-user systems like VantagePoint.

Specifically I'm interested in the possibility to:
1) define the topology of the net on my own, or having that determined genetically
2) build committees of networks
3) THE MOST IMPORTANT ONE: speed of training and genetic evolution

Time ago I worked extensively on neural networks with...
Ignored
Hello all, I'm working with a NN in Matlab, but wanted to ask for suggestions for the structure.

As of present, i've tried raw OHLCV for ann YEN crosses, targeting GBPJPY Close as the target. This was OK and gave the right direction 4 out of 5 times, with single digit error.

Then, i tried a mix of ema's, but this seemed to be worse, with approx 1 out of 3 giving the right direction.

What are some approaches others have used? I do not expect a price as an output, but rather would like to develop something to give a little more confidence with the trades, like a trend strength forecaster or something like that.

Comments are appreciated!
Time flies like an arrow; fruit flies like a banana.
 
 
  • Post #12
  • Quote
  • Sep 5, 2010 7:25pm Sep 5, 2010 7:25pm
  •  Blud4oilPrgm
  • | Commercial Member | Joined Jun 2008 | 388 Posts
Have any of you guys considered running your matlab calculations through newly available GPU cloud hosting services? You can use the exact NVidia cards that are used to render high end graphics for video games ->
Inserted Video
to get supercomputer like calculation speeds.

4 cards can be hosted per server. This video talks more about GPUs: http://oreillynet.com/pub/e/1675

if you do a google search for peer 1 hosting gpu you can find the GPU supercompute cloud offering. But in order too use GPU's with matlab you need to use an external toolbox designed to take advantage of the Nvidia Cuda C libraries. This one is freeware: http://gp-you.org/

I am actively trying to learn NN development in matlab. In case anyone willing to share their work or advice I am all ears.
 
 
  • Post #13
  • Quote
  • Last Post: Sep 9, 2010 1:39am Sep 9, 2010 1:39am
  •  peterc005
  • | Joined Jan 2010 | Status: Member | 35 Posts
FANN workswell as a NN for forex. Maybe just start with a simple Back Propagation network with 5 layers.

FANN is free and Open Source. There is an existing free MQ4 wrapper for FANN too.
 
 
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