Monday, April 11, 2011

SVM ready for the race.

SVM with polynomial kernel (parameters 1,1) are providing the best results with revenues between 20% and 100% weekly.

The tricks were:
  1. To limit the amount of money, one unit if the previous operation was with profit>0.
  2. To move the amplitude of Bollinger bands (that are, jointly with RSI, limiting alfa signals) increasing in a factor of 1.5 if the previous operation was failure (with a limit of 5*Amplitude) or decreasing in a factor of 1.5 with a minimum of Amplitude/1.5), letting be Amplitude the value of initial amplitude Bollinger (decide for each pair of forex).
  3. To avoid operations if training was against trend (this improves slightly returns, but it doesn't turn them into negative even in the worst cases).
Next step: implement in MQ4 the trading system.

No comments:

Post a Comment