Forums Development Forex Prediction – Science & Logic

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  • #1541
    gg53
    Participant

      Let’s say that we got acurate X years of historical data.

      We also got all available parameters for currency pairs:  OHLC, Bid, Ask, Volume (ticks), Swap, etc.

      And we got all kind of indicators (each with std. params), many of those.

      How would you test to find out:

      which one (or combination of several) will give the most accurate prediction for 1 year of “out of sample” data for a specific TF (let’s say H4)?

      What is the prefered “machine” or “method” to do this task (preferably available and open-source)?

      #1543
      gg53
      Participant

        I made an interesting experiment:
        I fed a Neural-Network algorithm almost all conceivable known parameters:
        Stochastic, RSI, CCI, Bolinger, Pivots, S/R, MA’s, Swap, OHLC, Bid/Ask, Volume, Currency Strength, etc. etc…. to run on each and on combinations of several params.

        I Let it run on 3 yrs historical data to find and sort most influetial parametrs (what are the most significant parametrs) and combinations of several params to “predict” one year of “out of sample” data for a specific TF.

        It ran for more than 17 days (!) on fairly strong computer, before spitting out the results.
        Some of the highly significat results are known to me from experience, and some are quite surprising (because I previously used to ignore them).

        I have to further analyse the results, and let you know.

        #1544
        PiratePip
        Participant

          Hey G!

          Very excited to see your results.

          Reminds of a thread from ff where proximus did a much more simple version of this http://www.ff.com/showthread.php?t=487974 (change ff to forexfactoy)



          -Life’s Good & Why Wouldn’t It Be? I’m a Pirate After All!

          #1547
          Jhlewis10
          Participant

            Interested in the results, and the methods/tools used to get them.   Seems an army of testers each testing one tf and strat/indy and compiling the results could be a huge win.

            Without overheating our processors.  lol

            #1548
            Saver0
            Moderator

              Awesome to see this thread G! Can’t wait to hear about your results and discuss further about the method. I have been thinking about this as well during my breaks. Like ways of combining TZs with other indicators to arrive at probabilities and turning points.

              Very interesting! Subscribed!

              Focus, Patience, Determination & Order in chaos

              #1549
              gg53
              Participant

                http://www.ff.com/showthread.php?t=487974

                Yeah, but he did it on individual indicator at a time, with fixed parameters in changing market conditions.

                We all know that this doesn’t work.

                Another thing is the method of “Always in” – enter on signal and exit on opposite signal. You can’t expect a single indicator to provide both accurate entry AND accurate exit.

                His research is priceless in putting the whole “indicators” is proper perspective – but I’m looking for something much more complicated – using combinations of data/indicators.

                 

                G.

                #1555
                gg53
                Participant

                  Interested in the results, and the methods/tools used to get them. Seems an army of testers each testing one tf and strat/indy and compiling the results could be a huge win. Without overheating our processors. lol

                  I think I’ve already said that the target is just one TF (Preferably H4).

                  G.

                  #1556
                  PiratePip
                  Participant

                    http://www.ff.com/showthread.php?t=487974

                    Yeah, but he did it on individual indicator at a time, with fixed parameters in changing market conditions. We all know that this doesn’t work. Another thing is the method of “Always in” – enter on signal and exit on opposite signal. You can’t expect a single indicator to provide both accurate entry AND accurate exit. His research is priceless in putting the whole “indicators” is proper perspective – but I’m looking for something much more complicated – using combinations of data/indicators. G.

                     

                    I totally agree with you. What he shared is just the tip of the iceberg in terms of what can be done with testing indicator probabilities, this is why I am very excited to see your findings :)



                    -Life’s Good & Why Wouldn’t It Be? I’m a Pirate After All!

                    #1557
                    gg53
                    Participant

                      I very much like all kind of “channels” because they give you a definite “area” with boundries to focus on.

                      So if you are consistantly aiming at the center of that channel – you are not far away from target – and that’s a start. From that point it’s just a matter of refining the accuracy.

                      I tested many types of  “channels” (Bollinger, Keltner, various regression, envelope, ATR, Price, and more).

                      Among the “surprising” results are two correlated ones: Weekly S/R and Weekly Pivot.

                      It’s something that I never used before… I’m trading much lower TF’s, H4 and below.

                      I still need to double and triple check the results, because it’s first run and probably have some bugs and logic flaws – but interesting outcome.

                       

                      G.

                       

                      • This reply was modified 9 years, 7 months ago by gg53.
                      #1560
                      Zelo
                      Participant

                        Great thread, gg53! :good:

                         

                        Definitely follow :yahoo:

                         

                        I am coding a tiny project on price prediction by using resilient backpropagation algorithms.

                        It predict high, low, close price.

                        I use ATR 20 to see if close > high or close < low, it like break out, i will buy or sell.

                        It just an idea i plan to code.

                         

                        Weekly S/R and Weekly Pivot sound interesting, i will try to code too.

                         

                        Keep posting gg53 !

                         

                        #1569
                        gg53
                        Participant

                          Great thread, gg53! :good: Definitely follow :yahoo: I am coding a tiny project on price prediction by using resilient backpropagation algorithms. It predict high, low, close price. I use ATR 20 to see if close > high or close < low, it like break out, i will buy or sell. It just an idea i plan to code. Weekly S/R and Weekly Pivot sound interesting, i will try to code too. Keep posting gg53 !

                          Try to multiply your ATR by 4, i.e. 4*20=80

                          G.

                          #1584
                          jacky
                          Participant

                            Try to multiply your ATR by 4, i.e. 4*20=80 G.

                            Awesome thread. Thanks G, subscribe. About multiplying the ATR with 4, is it because of 1 month has 4 weeks ?

                            #1594
                            gg53
                            Participant

                              Try to multiply your ATR by 4, i.e. 4*20=80 G.

                              Awesome thread. Thanks G, subscribe. About multiplying the ATR with 4, is it because of 1 month has 4 weeks ?

                              I’m getting better results with ATR between 80-100.

                              G.

                               

                              #1595
                              gg53
                              Participant

                                Thanks all for your comments, but I asked for suggestions/ideas on how to achieve the task presented in the first post.

                                There are several NN aproaches, and there are some other ways of doing it.

                                I’m looking for such – not relying on just one “engine” which might be not very suitable for the mission.

                                G.

                                #1600
                                Zelo
                                Participant

                                  Here is ATR=4 on 10K bars of H1 AUDUSD from Dukascopy.

                                  I see predicted High and Low act as High and Low band like BB.

                                  But the good thing is that they can adapt to current market trend not like other indicator.

                                  But i dont see how i can trade them yet :unsure:

                                  I need more time to play with it to see.

                                   

                                  But gg53, do you use other pairs like AUDUSD, GBPUSD as parameter to predict EURUSD?

                                   

                                  #1616
                                  blueface
                                  Participant
                                    #1617
                                    gg53
                                    Participant
                                      #1618
                                      gg53
                                      Participant

                                        Here is ATR=4 on 10K bars of H1 AUDUSD from Dukascopy. I see predicted High and Low act as High and Low band like BB. But the good thing is that they can adapt to current market trend not like other indicator. But i dont see how i can trade them yet :unsure: I need more time to play with it to see. But gg53, do you use other pairs like AUDUSD, GBPUSD as parameter to predict EURUSD?

                                        I sure do, but in indirect way – through Currency Strength and Correlation indies.

                                        G.

                                         

                                        #1619
                                        gg53
                                        Participant

                                          The whole thing is still under development, so no definite results, indies to share or “always in” EA to “prove”.

                                          Just in case Stinky comes around…

                                          G.

                                           

                                          • This reply was modified 9 years, 7 months ago by gg53.
                                          #1620
                                          gg53
                                          Participant

                                            To illustrate the method, imagine:

                                            1. We found an adaptable “channel” that includes at least 90% of the bars, has the narrowest boundries, and can be accurately extended a few bars forward.

                                            2. We “aim” our canon ball roughly at this area…

                                            3. We know the (avg?) size of the next bar(s) and our current location. So we add and substruct that size from our current location (provided it’s still within the channel boundries).

                                            4. We can further reduce that size if we knew the direction of next bar, or use a different method of “extending” from current location. I’ll offer other ways of doing it later on.

                                            5. Now we are left with the question: When it will get to that price area? Simple: ROC (Rate of Change).

                                            6. It’s time to fire that canon ball…

                                             

                                            We dont have to “guess” accurate price, just a range of very high probability prices and their location relative to current bar close.

                                            Simple concept, harder to implement but have some logic in it.

                                            Suggest tools, indies, scanners, algo, or whatever drive this wagon forward.

                                            Debate the concept and suggest solutions to that.

                                            Note:

                                            Every tool or indi MUST be adaptable to changing market condition, otherwise it will show terrific results today and fail tommorow.

                                             

                                            G.

                                            • This reply was modified 9 years, 7 months ago by gg53.
                                            • This reply was modified 9 years, 7 months ago by gg53.
                                            #1624
                                            gg53
                                            Participant

                                              Oh, if you’re discouraged by the adding and subtructing full bar sizes from current location – don’t be.

                                              You can add/subtruct only the Open/Close distance of the “future” bar(s).

                                              G.

                                              #1723
                                              stt
                                              Participant

                                                Great post. I have experimented with NN and at a high freq level, there is a good signal i could generate (using order book info from primary markets). In last few years there has been very significant advancement in neural networks particularly techniques for deep learning which i think have a lot of potential in trading too. look into convolution networks, RBMs etc. I want to experiment this on retail level too so would be very interested in working together on this.

                                                 

                                                #1724
                                                gg53
                                                Participant

                                                  Great post. I have experimented with NN and at a high freq level, there is a good signal i could generate (using order book info from primary markets). In last few years there has been very significant advancement in neural networks particularly techniques for deep learning which i think have a lot of potential in trading too. look into convolution networks, RBMs etc. I want to experiment this on retail level too so would be very interested in working together on this.

                                                  It took me nearly 6 months to develope my own NN to handle this, and I’m quite sure it’s not pefect and probably has many bugs and logic flaws.

                                                  I don’t want to repeat or debug it – I’m looking for something ready or maybe something that needs small refinments.

                                                  That’s why I asked if there is something “engine” that can handle that many parameters and indicators effectively.

                                                  Good to see you here.

                                                  G.

                                                   

                                                  #1727
                                                  stt
                                                  Participant

                                                    Great post. I have experimented with NN and at a high freq level, there is a good signal i could generate (using order book info from primary markets). In last few years there has been very significant advancement in neural networks particularly techniques for deep learning which i think have a lot of potential in trading too. look into convolution networks, RBMs etc. I want to experiment this on retail level too so would be very interested in working together on this.

                                                    It took me nearly 6 months to develope my own NN to handle this, and I’m quite sure it’s not pefect and probably has many bugs and logic flaws. I don’t want to repeat or debug it – I’m looking for something ready or maybe something that needs small refinments. That’s why I asked if there is something “engine” that can handle that many parameters and indicators effectively. Good to see you here. G.

                                                    yes, it does take a long time to get all things working (partly because of the learning curve). We have used lot of open source code thats available. I am not sure if you are using GPUs at this point but if you do then you will want to use cudalib which has many algorithms implemented already.

                                                    Otherwise look for packages from http://deeplearning.net/software_links/ – again there will be some learning curve but you wont have to implement all the algos yourself from reading papers etc.

                                                    you certainly dont have to develop your NN from scratch – there are implementations in opensource that will be error free and will do almost anything you want to do.

                                                     

                                                    btw if you are looking for some commercial platform/code, check this http://newsite.asirikuy.com/?page_id=3420. algotradingjo at FF uses this.

                                                     

                                                     

                                                     

                                                    • This reply was modified 9 years, 6 months ago by stt.
                                                    #1730
                                                    Saver0
                                                    Moderator

                                                      That’s why I asked if there is something “engine” that can handle that many parameters and indicators effectively.

                                                      Have you looked into this G?
                                                      http://www.heatonresearch.com/encog

                                                      They have libraries for almost all languages.

                                                      Also I have used FANN library and it was pretty good.

                                                      Focus, Patience, Determination & Order in chaos

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