07
Feb
2008
Stock NeuroMaster BUY/SELL Signals - VII
Posted by Tom as Neural Nets, Stocks
The Stock NeuroMaster neural net model issued a SELL signal yesterday to close out our remaining long position for the iShares MSCI Brazil Index (EWZ) at today’s open. Our position EWZ has had a great run, as of yesterday’s close ($ 73.79) it was up +11.6% from the BUY signal. I’m looking forward to closing out this position (on paper) and finding out what my aggregate return was for this little test.
I’m planning on writing a brief summary of the things I learned using Stock NeuroMaster for this little exercise and hopefully will be able to provide my readers with some tips and tricks to help fine tune their systems. Thanks for playing along!
PS: I’m getting a BUY signal for the SPDR Trust (SPY) this morning!
2 Responses
Sarah
February 7th, 2008 at 2:39 pm
1Tom,
One can model percent change, trend, or event;
I am wondering what are you modeling in NN. Have you tried using committee approach? Was it any better? Also, are you using any portfolio management technique?
If one can create a portfolio of correlated stocks (say, with similar breakout attitude) then they can model the event of breakout of one stock based on others within the portfolio. Comments? Thoughts?
~Sarah
Tom
February 7th, 2008 at 6:54 pm
2Sarah, I mainly model trend and events. When you say committee approach, do you mean the assignment of weights to different variables or assets?
If so, then yes I’ve used basket of assets with different weights which were obtained using evolutionary weighting algorithms EVA). I used this method to help me in event based models and it was used to help build my Market Timing model.
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