I have now completed the cross validation test I wanted to run, which compares my current
Bayesian classifier with the recently retrained "
reserve neural net," the results of which are shown in the code box below. The test consists of 50,000 random iterations of my usual "ideal" 5 market types with the market classifications from both of the above classifiers being compared with the actual, known market type. There are 2 points of comparison in each iteration: the last price bar in the sequence, identified as "End," and a randomly picked price bar from the 4 immediately preceding the last bar, identified as "Random."
Number of times to loop: 50000
Elapsed time is 1804.46 seconds.
Random NN
Complete Accuracy percentage: 50.354000
"Acceptable" Mis-classifications percentages
Predicted = uwr & actual = unr: 1.288000
Predicted = unr & actual = uwr: 6.950000
Predicted = dwr & actual = dnr: 1.268000
Predicted = dnr & actual = dwr: 6.668000
Predicted = uwr & actual = cyc: 3.750000
Predicted = dwr & actual = cyc: 6.668000
Predicted = cyc & actual = uwr: 2.242000
Predicted = cyc & actual = dwr: 2.032000
Dubious, difficult to trade mis-classification percentages
Predicted = uwr & actual = dwr: 2.140000
Predicted = unr & actual = dwr: 2.140000
Predicted = dwr & actual = uwr: 2.500000
Predicted = dnr & actual = uwr: 2.500000
Completely wrong classifications percentages
Predicted = unr & actual = dnr: 0.838000
Predicted = dnr & actual = unr: 0.716000
End NN
Complete Accuracy percentage: 48.280000
"Acceptable" Mis-classifications percentages
Predicted = uwr & actual = unr: 1.248000
Predicted = unr & actual = uwr: 7.630000
Predicted = dwr & actual = dnr: 0.990000
Predicted = dnr & actual = dwr: 7.392000
Predicted = uwr & actual = cyc: 3.634000
Predicted = dwr & actual = cyc: 7.392000
Predicted = cyc & actual = uwr: 1.974000
Predicted = cyc & actual = dwr: 1.718000
Dubious, difficult to trade mis-classification percentages
Predicted = uwr & actual = dwr: 2.170000
Predicted = unr & actual = dwr: 2.170000
Predicted = dwr & actual = uwr: 2.578000
Predicted = dnr & actual = uwr: 2.578000
Completely wrong classifications percentages
Predicted = unr & actual = dnr: 1.050000
Predicted = dnr & actual = unr: 0.886000
Random Bayes
Complete Accuracy percentage: 19.450000
"Acceptable" Mis-classifications percentages
Predicted = uwr & actual = unr: 7.554000
Predicted = unr & actual = uwr: 2.902000
Predicted = dwr & actual = dnr: 7.488000
Predicted = dnr & actual = dwr: 2.712000
Predicted = uwr & actual = cyc: 5.278000
Predicted = dwr & actual = cyc: 2.712000
Predicted = cyc & actual = uwr: 0.000000
Predicted = cyc & actual = dwr: 0.000000
Dubious, difficult to trade mis-classification percentages
Predicted = uwr & actual = dwr: 5.730000
Predicted = unr & actual = dwr: 5.730000
Predicted = dwr & actual = uwr: 5.642000
Predicted = dnr & actual = uwr: 5.642000
Completely wrong classifications percentages
Predicted = unr & actual = dnr: 0.162000
Predicted = dnr & actual = unr: 0.128000
End Bayes
Complete Accuracy percentage: 24.212000
"Acceptable" Mis-classifications percentages
Predicted = uwr & actual = unr: 8.400000
Predicted = unr & actual = uwr: 2.236000
Predicted = dwr & actual = dnr: 7.866000
Predicted = dnr & actual = dwr: 1.960000
Predicted = uwr & actual = cyc: 6.142000
Predicted = dwr & actual = cyc: 1.960000
Predicted = cyc & actual = uwr: 0.000000
Predicted = cyc & actual = dwr: 0.000000
Dubious, difficult to trade mis-classification percentages
Predicted = uwr & actual = dwr: 5.110000
Predicted = unr & actual = dwr: 5.110000
Predicted = dwr & actual = uwr: 4.842000
Predicted = dnr & actual = uwr: 4.842000
Completely wrong classifications percentages
Predicted = unr & actual = dnr: 0.048000
Predicted = dnr & actual = unr: 0.040000
A Quick Analysis
- Looking at the figures for complete accuracy it can be seen that the Bayesian classifier is not much better than randomly guessing, with 19.45% and 24.21% for "Random Bayes" and "End Bayes" respectively. The corresponding accuracy figures for the NN are 50.35% and 48.28%.
- In the "dubious, difficult to trade" mis-classification category Bayes gets approx. 22% and 20% this wrong, whilst for the NN these figures halve to approx. 9.5% and 9.5%.
- In the "acceptable" mis-classification category Bayes gets approx. 29% and 29%, with the NN being more or less the same.
Although this is not a completely rigorous test, I am satisfied that the NN has shown its superiority over the Bayesian classifier. Also, I believe that there is significant scope to improve the NN even more by adding additional features, changes in architecture and use of the Softmax unit etc. As a result, I have decided to gracefully retire the Bayesian classifier and deploy the NN classifier in its place.
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