The contest

I've been testing six different type of applied machines, during 15 days, from January to February 2011.

Participants were:

• LSSVM with polynomial kernel, with parameters (1,1)
• Simplistic as was described in a previous post

Each participant was using three different sets of data:

• sequence of earnings got with the indicator AIS, described in a previous post, minute by minute (I named it earn)
• sequence of Bollinger Bands values: mean, low and upper band and %b (relative amplitude of the bands) (I named it bolli)
• sequence of high, low, open, close prices, RSI(14,close) and volume minute by minute (I named it rstuvw... don't ask me why)

Combining them, we get six different possibilities. I'm working, as usually, with six forex (EURCHF, USDCHF, USDJPY, GBPJPY, GBPUSD, EURUSD).

Final results were:

	eurchf	usdchf	usdjpy	gbpjpy	gbpusd	eurusd
LSSVM earn	37	-35	126	25	107	0
LSSVM bolli	11	47	170	127	59	1
LSSVM rstuvw	2	-90	224	189	133	1
Simpl. earn	-10	-43	517	89	419	31
Simpl. bolli	-133	0	198	-320	133	-251
Simpl. rstuvw	-65	1	623	-117	386	-476

Numbers indicate 1e-4 proportion of revenue (over 1, thus 1 is 100%)

Total final revenue is 2.117 (211'7%).

Proportions are calculated following this formula for long positions (calculus is quite similar for short positions):

There are let three positions at the same time open for each combination and strategy (long and short). Spread is the number of pips for each FX, depending on the platform you use. In my case, using a Hanseatic account, spread pips are for each mentioned FX:

0.0005, 0.0005, 0.0005, 0.0005, 0.0002, 0.0003

Underlying prices used even for training and testing the machines are:

1. 360 minutes (six hours) from 3AM to 9AM Madrid Time as training data
2. 24 hours, from the end of training (9AM) to 9AM the following day

In the other side, limitations to LSSVM and Simplistic machines are the same for every one: RSI and Bollinger should recommend the entrance, and RSI and time is used to signal when to close the position. No positions are opened for more than 40 minutes.

To investigate:

1. 24 hours as training data
2. Risk and efficient portfolio of machines
3. Which machines are again and again good for which FX.

That's all, folks.