3rd generation NN, deep learning, deep belief nets and Restricted Boltzmann Machines

This is a discussion on 3rd generation NN, deep learning, deep belief nets and Restricted Boltzmann Machines within the Trading Software forums, part of the Commercial category; Here are some results for EURUSD 30min obtained for SVM, RBM net and DBN net. Experiment was done for 2 ...

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Old Nov 3, 2010, 2:57pm   #65
Joined Jan 2009
SVM, RBM and DBN results

Krzysiaczek99 started this thread Here are some results for EURUSD 30min obtained for SVM, RBM net and DBN net.

Experiment was done for 2 strategies, instantpip and pipmaximizer for training on 1000 and 2500 bars. Number of OOS bars in both cases was 500.

SVM was using linear kernel, RBM was using 500 neurons and trained for 500 epochs,
DBN net had configuration 500-500-500 and trained for 500 epochs also.

Results were classified if the equity curve ended positive or negative or no trade

pipmaximaizer

no trade - 8
positive - 1 RBMsell2500
negative - 3

instantpip

no trade - 1
positive - 5 DBNsell1000, RBMsell100(final eq=0), RBMsell2500,SVMsell100(finaleq=0),SVMsell2500
negative - 6

so clearly instantpip strategy seems to extract series features much better than pipmaximaizer.

than 2 questions are coming to my mind

1) are we tricked by randomenss here - I dont think so. TradeFX tries to trade on each bar
so we have 500 real OOS samples but......

2) Are those features are constant for certain TF and currency pair or they are changing in time ??

Perhaps some WF test should be done to have more data.

Any ideas ??
Attached Files
File Type: zip instantpip.zip (340.0 KB, 148 views)
File Type: zip pipmaximizer.zip (206.7 KB, 136 views)
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Old Nov 8, 2010, 6:32pm   #66
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Re: some basic tests

Quote:
Originally Posted by Krzysiaczek99 View Post
After some nice posts lets return to reality and check if TradeFx actually works and how it behaves in some stress conditions so trading against the patterns which it didn't learn

First I applied TradeFX against simple sinus series. It has quite long period but training was including three full periods.

From the screenshots is clear that it works well. Both Buy and Sell singals were generated
at the bottom and tops of sinwave.

So far so good
A while back I have tested SVMs on noisy cycles; I got terrible results. Could you confirm that with your setup?
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Old Nov 8, 2010, 6:34pm   #67
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Re: basic tests

Quote:
Originally Posted by Krzysiaczek99 View Post
than i tried another combination: 1200 bars for training and 775 for OOS

From results you can see that

for buy orders - system don't generate any buy signals very good !!
for sell orders - system generate continous sell signal : very good !!
Could you please show the full equity curve including the trend transition?
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Old Nov 8, 2010, 6:35pm   #68
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Re: Basic tests

Quote:
Originally Posted by Krzysiaczek99 View Post
Than final tests I made setting 1st 500 bars of downtrend for training than last 500 for OOS. So it is trained on downtrend and trading on downtrend

from result you can see

for buy orders - no buy orders generated very good
for sell orders - it started to generated sell orders, stopped and resume again
SVM are classifiers so it is not surprising. You need at least two separate classes for them to discriminate well. I donít think your test is conclusive because learning only from a trend is a one class problem. SVM will try to separate this class explaining the bad results you got.
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Old Nov 9, 2010, 1:22am   #69
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Re: some basic tests

Krzysiaczek99 started this thread
Quote:
Originally Posted by Highfreq View Post
A while back I have tested SVMs on noisy cycles; I got terrible results. Could you confirm that with your setup?
I think it depends if you will denoise input data to SVM. I just provided output from different indicators so data was not denosied.

Quote:
Could you please show the full equity curve including the trend transition?
see post 60 and 61. All those post show only OOS part,

Quote:
SVM are classifiers so it is not surprising. You need at least two separate classes for them to discriminate well. I donít think your test is conclusive because learning only from a trend is a one class problem. SVM will try to separate this class explaining the bad results you got.
The purpose of those test was to see if basic funcionality of TradeFX is working
and to see which trading signal will be generated in case when OOS pattern wont match
training pattern and result was as expected. The same behaviour shows RBN and DBN.

Krzysztof
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Old Nov 9, 2010, 10:10am   #70
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Advances in Machine Learning for Computational Finance Advances in Machine Learning

Krzysiaczek99 started this thread nice video lectures about Advances in Machine Learning for Computational Finance

http://videolectures.net/amlcf09_london/
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Old Nov 9, 2010, 2:19pm   #71
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The way forward

Krzysiaczek99 started this thread Obviously the results from post 65 were not so much encouraging. But it's not end of the world.

The following ways forward coming my mind:

1) Use the strategies with numeric values. Current strategies are using binary values
so it's just 7 and 9 bits of information. It can be not enough to extract market info

In this case classifiers based on RBM and DBN can no be used but
classifiers based on CRBM and FCRBM should be used instead

2) Use ensembled methods so multiple classifiers. There is a lot if ensembled methods like

* AdaBoostM1
* Bagging
* Up Sampling
* Down Sampling
* Stacking / Hierachial Classification
* Stacking with Feature Subspaces
* Majority Voting
* Multi-Class Classification Wrapper using Output Coding
* Multi-Label Classification Wrapper

For more info see book 'PATTERN CLASSIFICATION USING ENSEMBLE METHODS'

3) Design other strategies which hopefully will extract more info from market

4) Use other (e.g. tree) classifiers

Any other ideas ??
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Old Nov 9, 2010, 6:35pm   #72
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Re: some basic tests

Quote:
Originally Posted by Krzysiaczek99 View Post
I think it depends if you will denoise input data to SVM. I just provided output from different indicators so data was not denosied.

see post 60 and 61. All those post show only OOS part,

The purpose of those test was to see if basic funcionality of TradeFX is working
and to see which trading signal will be generated in case when OOS pattern wont match
training pattern and result was as expected. The same behaviour shows RBN and DBN.

Krzysztof
You post 58 has clean sinusoids. As the first part of the equity lines seems to indicate (your posts 60, 61) I'd like to have confirmation that SVM don't work on noisy (market) conditions.

I'd like to see the full equity line including the transition to the down trend; your post 62 does not show it. Just curious to see whether SVM could be wrong in detecting the change in trend for various training periods (the start or end date vary).
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