Sunday, February 27, 2011

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:

LSSVM earn37-35126251070
LSSVM bolli1147170127591
LSSVM rstuvw2-902241891331
Simpl. earn-10-435178941931
Simpl. bolli-1330198-320133-251
Simpl. rstuvw-651623-117386-476

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.

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