Neural / genetic algorithms for trading

[mr-T 10]

Hi Everyone!

 

I'm new to this site. Found it whilst doing a google search for trading discussion forums and this one looked best amongst the available alternatives.

 

I am interested in developing a 'basic' trading program, capable of learning trading rules based on pattern recognition and performance evaluation. I know of a few neural network and genetic algorithms out there, and have heard of their application in financial trading, but I am new to these areas and really need some advice. I would be very interested in hearing from anyone who has successfully applied NNs or GPs to intra-day data for forecasting. Any information would be helpful as what I would really like to do is create a basic program that I can play with and build on as my knowledge develops.

 

Best regards,

 

mr-T

[DrkTrade 10]

I have some experience with neural networks and genetic programming although its been a few years since I've worked with them. You may want to look through the paper at the following link: Time Series Prediction Using Evolving Polynomial Neural Networks

 

The paper applies those techniques for time series forecasting. I don't think it would be too difficult to evolve a NN to predict one or two days out for a particular stock. An easier approach would be to evolve a NN that would generate a buy/sell waveform like an oscillator. Since it would be more closely tailored to the characteristics of the stock you are looking at it may be more accurate than traditional indicators.

[mr-T 10]

Hi DrkTrade,

 

Thanks for your reply and the link to the thesis!! I've just had a look at it and it looks very interesting and comprehensive. I have collected a few papers on NNs and GAs so far, but not this one. Many thanks indeed!

 

Best regards,

 

mr-T

[Genki 10]

Hi mr-T,

You may or may not be aware of a book called The Encyclopedia Of Trading Strategies by Jeffrey Owen Katz Ph.D. to which there's also a companion CD available. As I'm working with this software to identify the strategy I want to use, I thought I let you know about it. He includes NN and GA. Looking at the book for once you might get ideas.

 

Healthy Profits!

 

Genki

[marobi 10]

The paper applies those techniques for time series forecasting. I don't think it would be too difficult to evolve a NN to predict one or two days out for a particular stock.

 

You are right, to predict something that looks to be usable is not a problem - see the applets at the site about prediction using neural networks that includes sample data for trading. But this is not all - if the prediction looks to be sufficient, it is also necessary to develop entry and exit rules - and this can be more important than more exact prediction.

[mr-T 10]

Thanks for your comments Marobi. I'll take this on board. I had a look at the website, and it contains very interesting information. It's a shame there is no totorial on writing a basic NN code. Even pseudo code would provide useful insight.

 

Thanks

 

mr-T

[mr-T 10]

Hi Genki,

 

Thanks for the book recommendation. Following on from my previous post, does the CD contain generic code, or is it all 'black box'?

 

Thanks,

 

mr-T

[turboonostrilvision 10]

From neural networks I use for some time is leotraderpro robot which I have set on finfx mt4 as sugested. Recently also started using Trade Vantage 1.0, and straight on live acc.