- a rolling look back period of n bars, similar to a moving average
- selecting non consecutive periods of price history with similarity to the most recent history
Thursday, 20 March 2014
It has been almost two months since my last post and during this time I have been working on a few different things, all related in one way or another to my desire to create a rolling NN training regime. First off, I have been giving some thought as to the exact methodology to use, and two had come to mind
As can be seen there is nice separation between the market types and the SVM achieves over 98% cross-validation accuracy on this training set. Despite this, when applied to real market data I am yet again disappointed by the performance and choose for now to no longer pursue this avenue of investigation.
In addition to all the above, I have "discovered" the Octave sourceforge nan package, which I may begin to investigate more fully in due course. I have also been working through another Massive Open Online Course, this time Statistical Learning, which is in its last week at the moment. In this last week of the course I have been alerted to a possible new area of investigation, Distance correlation, which I had heard of before but not fully appreciated.
Finally, I have also been reassessing the code I use for calculating dominant cycle periods. It is these last two, distance correlation and the period code, that I'm going to look at more fully over the coming days.