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Prediction on Another Stock Index by Neural Network
This time, let's try to apply the neural network on Shanghai Stock Exchange Index(000001.SS on Yahoo! Finance). The network has 2 hidden layers, the 1st one has 5 nodes, the 2nd one has 2 nodes. Output layer has 1 node.
After 5000 epoches training with 2400 sample data, the result is showing below.
It seems the pattern of chart is better than the turning time. Particularly, the backward generalization gets a very interesting result.
When I do the prediction, I do not use the price in the prediction period to adjust the network or as input any more. That is, I only use the price data in the training period to recognize the pattern, then apply the pattern backward or forward directly. So the prediction is fairly a long term prediction.
Click on the picture to enlarge it
Comments
the prediction seems to work terrible outside the training set - as usual for nns. what (still 3?) inputs do you use? and btw, are you planning to release further versions of the source code?
I forgot to mention, when I do the prediction, I do not use the price in the prediction period any more. That is, I only use the price data in the training period to recognize the pattern, then apply the pattern backward or forward directly.
The 'inverson' is fairly typical when using any predictive method. While inverson's can cause problems they can also be called in advance w/ methods like elliott waze and wilder's delta. It's these periods of disagreement between the methods that the best opportunities are presented.
Mark
I have written some code to predict stockquote tendency using FANN library. Now I'm tring to integrate it into Visual Chart software (It's software like HumaiTrader?).
More info (spanish) here; <a href=" http://open-trader.blogspot.com/2006/07/inteligencia-artificial-un-sistema.html"> http://open-trader.blogspot.com/2006/07/inteligencia-artificial-un-sistema.html</a>
I agree with one of the comments that neural networks is not the way to go. If you use Backpropagation algorithm and you minimze MSE only you will always overtrain NN or find some low probability model. There are some ways around this, but still NN is to primitive to find some really cool patterns. And definately it is not more sophisticated than human brain (not this one at least). It would be great if you could continue releasing new code :)
I found a little problem refreshing data of the <a href=" http://www.learnartificialneuralnetworks.com">Neural Network</a> i am asume you are using the <a href=" http://www.learnartificialneuralnetworks.com/backpropagation.html">Backpropagation</a> model, so the software is going to regenerate the neuron set i think.
Regards <b><i>Design Engineer</i></b> <a href=" http://www.learnartificialneuralnetworks.com">Neural Networks</a> Models and Algorithms
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