Friday, January 7, 2011

ModifiedSVM for SP500 and EUROSTOXX

Trying to apply modified SVM (a quite simplified method a will describe in future) only to index data (open/close/high/low/volume), the results were:

  1. For SP500 long prediction is quite good. SP500 is going up with a huge loses ModifiedSVM is avoiding. Short prediction is "almost" good: no points were predicted to get short.
  2. For EUROSTOXX, machine crashes: market was long, but, suddenly, (january 6th, at 13:30) it started to get very short. My ModifiedSVM decided to go in long at 13:30.... oohh!!!

  • Samples each 15 minutes
  • Training with 96 samples, the most recent ones
  • Stop Loss decide after testing training, looking for the greatest benefit
  • Two machines for each index: one for short and one for long positions.

  • MQ4 code (working on MetaTrader) to get index values
  • MQ4 code to operate in real time on MetaTrader platform
  • Matlab to train and test the machine

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