Stock Signal Reviews - Boeing and The S&P500
This week I featured the neural net models of Boeing Company (BA) and the S&P500 Index and indicated if each model had issued a BUY or SELL signal recently.
For my BA post, my neural net model issued a SELL signal on 2/26/08 (for 2/27 open) to establish a short position. It then issued a BUY signal to close the short position on 3/5/08 (for 3/6 open). This was another successful trade using the Stock Neuromaster system and it would’ve netted you a gross profit of +4.6% in 6 trading days!
I also gave my readers an S&P500 Trend snapshot from my longer term S&P500 neural net model. The model issued a SELL signal on 2/28/08 (for 2/29 open) to establish a short position. It then issued a BUY signal to close the short position on 3/5/08 (for 3/6 open) . It’s too bad the model didn’t anticipate the sell off yesterday and then issue the close position signal last night but its prediction of the short trend term was correct! This small trade would’ve netted you a gross profit of +2.3%!
Once again the system proves to be a money maker and the beauty of it is, you can pick what stocks you want to follow! One bonus to the Stock Neuromaster system is that you can download OHLC data for any asset, in CSV format, load it into the system and build a neural net model with BUY and SELL signals! Are you interested in modeling Futures like Gold, Silver, Aussie Dollar, or Wheat? You can do that with this little program!
March 7th, 2008 at 6:01 pm
Hi Tom,
I’m looking for “open” and platform independent solution to the issues of downloading OHLC data, and wrangling the data for use by rapidminer.
It would also be nice to have a vehicle to sanity check things like Monte Carlo simulations and other fun stuff.
So far R looks very interesting
Do you have any other suggestions?
Cordially,
-Digital Dude-
March 8th, 2008 at 1:11 am
tom, am curious how often do u retrain your stock neuromaster nets for 1 day walkforwards?
March 8th, 2008 at 7:11 am
@DD: A platform independent data downloader? I use TraderXL Pro for that and it dumps it into Excel. I suppose you can build a MySQL database and a php script to download data from places like Yahoo or PCQuote.
@Ric: I’m not sure I understand your question right. Once the data is downloaded and you generate your Buy/Sell signals from the prediction button, say for 15 days, it signals should remain even when you update the model with new data.
March 8th, 2008 at 11:38 am
hi tom, i actually purchased the software. after you generate signals with a walk forward of, say, 1 day and then predict for, say, 15 days, sometimes the model’s signals generate a negative return or just around breakeven. i then attempt to create another model to see what the signals do for the most recent 15 days. i find it difficult to create a model that tests well when you select the walk forwards (15, 30, 45 days, etc.).
i guess my question is, when or how often do you re-train the nets? sometimes i would guess that the signals start becoming inaccurate after a while.
thanks.
March 8th, 2008 at 11:42 am
Oh ok, I retrain the models maybe every few weeks. It really depends on how well the signals perform. I usually use the predict on the last 15 days of data if I’m trying to doing intra week swing trading.
I’m sure you’ll find that this little program is pretty powerful and neat, I really like it a lot.