Noxa indicators for Neuroshell

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Old Mar 5, 2008, 12:19pm   #1
Noxa indicators for Neuroshell

HI

I would like to have opinions about the noxa indicators for neuroshell

see

Noxa Analytics Inc :: Your Predictive Edge


thanks

Chris
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Old Mar 6, 2008, 2:06am   #2
P.Z
Joined Mar 2008
Noxa indicators for Neuroshell

Hi Chris,

I am a newbie to this forum but I happen to use the Noxa CSSA addon.

I found the indicators quite easy to understand and to handle (as in control). They are zero-lag indicators and do provide very accurate change points at any timescale!!! This is real as you can see in the chart example attached. But more surprising, I was able to identify cycles that persist and generalize very well out of sample!!! By the way the results attached are out of sample...

Truly impressive!!!

The best indicators for me so far.

P.Z
Attached Thumbnails
rules-1.gif   result-1.gif   dia-2.gif  

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Old Mar 11, 2008, 6:12am   #3
Joined Feb 2008
Intraday Trading with Noxa

Hi Chris,

I agree with PZ, I just have Noxa few days a go then I try to make some trading strategy, I used one of indicator,i.e. Qphase, implemente it into forex pair EURUSD 15m chart. Compare with other indicators, Noxa give the fastest result with few data (I use 6 days for optimization and paper trade within last 2 days), it requires less than 20 minutes to give the result. I am still testing the result with out of data.

One problem is to find the filter,for the signal, since the buy/sell signal sometimes occurred nearby as you can see on the chart (March, 10th 10:00 12:00) . For the moment I use stochastic indicator to confirm the signal. Any body can give advice to give filter for this signal and it may included as part of trading strategy?

Good luck.
Arryex
Attached Thumbnails
chart.jpg   trading-statistic.jpg  
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Old Mar 11, 2008, 4:45pm   #4
P.Z
Joined Mar 2008
1min bar price action in the DIA with Noxa CSSA

Hi Arryex,

Look like false signals generated by local noise to me. There is a smoothing parameter that you could adjust to filter out these false signals I think. That might work.

I thought of posting some real time price action that I got this morning on the DIA 1min bar from their Beta for the MetaStock platform. My expert adviser is based on the Entries #0 signals. I simply played a bit with the parameters and quickly narrowed down a setting that gives signals very good at spotting breakouts. I am stunned.

Really the best cycle-based indicators out there!!!

Patrick

ps. I have posted two charts at different times just to check that signals do not change after the fact. This is good news, they do not! I saw so many scam indicators that I wanted to check. First thing any trader should do!


Quote:
Originally Posted by arryex View Post
Hi Chris,

I agree with PZ, I just have Noxa few days a go then I try to make some trading strategy, I used one of indicator,i.e. Qphase, implemente it into forex pair EURUSD 15m chart. Compare with other indicators, Noxa give the fastest result with few data (I use 6 days for optimization and paper trade within last 2 days), it requires less than 20 minutes to give the result. I am still testing the result with out of data.

One problem is to find the filter,for the signal, since the buy/sell signal sometimes occurred nearby as you can see on the chart (March, 10th 10:00 12:00) . For the moment I use stochastic indicator to confirm the signal. Any body can give advice to give filter for this signal and it may included as part of trading strategy?

Good luck.
Arryex
Attached Thumbnails
intradayclip0016-signals-0-5.gif   intradayclip0016-signals-0-8.gif  
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Old Mar 11, 2008, 6:17pm   #5
Joined Feb 2008
Adj Close parameter

Hi Patrick,

I see there is parameter missing in my trading strategy rule,i.e. "Adj. Close", you use this while I use "Close" instead. Can you advise how to get this parameter? are they different?

Thanks for your prompt advise.

Arry
Attached Thumbnails
1m-chart.jpg   1m-trading-rules.jpg  
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Old Mar 11, 2008, 7:19pm   #6
P.Z
Joined Mar 2008
Noxa chart: Adj Close parameter

Hello Harry,

I used the "Adjusted close" to avoid side effects from splits. The "Adjusted close" shows the close price adjusted for all splits and dividends. It is provided among the Open High Low Close and Volume of Equities. "Adjusted Close" does not exist in the Forex.

I would have used the "Close" instead of the "Adjusted Close" on RSTI EOD, I would have artificially doubled the return as you can see in the chart.

By the way, the cycle does not seem to bother much when there is a split. This makes sense as the split is something artificial. It should not have any effect on the turning points from the main cycles...

Very good stuff!

Cheers,

Patrick


Quote:
Originally Posted by arryex View Post
Hi Patrick,

I see there is parameter missing in my trading strategy rule,i.e. "Adj. Close", you use this while I use "Close" instead. Can you advise how to get this parameter? are they different?

Thanks for your prompt advise.

Arry
Attached Thumbnails
rsti-eod.gif   trading-strategy-wizard.gif  
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Old Mar 11, 2008, 7:36pm   #7
Joined Feb 2008
Modifying Parameter

Hi Patric,

I would like to know more detail how you modify the parameter to remove false signal, as you state:
"I simply played a bit with the parameters and quickly narrowed down a setting that gives signals very good at spotting breakouts"

I try to use full optimization to find best parameter, but still they resulting some noise/false signal.

I think you are Noxa Master
Arry
Attached Thumbnails
1m-chart2.jpg  
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Old Mar 11, 2008, 8:56pm   #8
P.Z
Joined Mar 2008
Noxa CSSA m-histories

Hi Harry,

Your chart is a Forex pair (correct me if I am wrong). I noticed that charts intraday generally require higher values for the m-histories parameter. m-histories = 50 bars works well EOD but you might need larger values intraday. Larger m-histories comes down to capturing cycles with larger period; m-histories = 100 bars with 1min bars means that CSSA is able to capture cycles 100 minute wide but not wider. In addition to capturing more appropriate cycles intraday by increasing the m-histories value, there is also a side effect of smoothing down the indicators so it might help filtering the false signals. You can also adjust the lead parameter to something like Lead = 0.05 for example.

In addition you can use their entries #2 as signals as they describe in their manual but I personally prefer using QPhase and Oscillator as filter I add a condition on the level at which the Oscillator or QPhase sits. It really helps (see attached chart).

However, I am not a heavy user of the optimizer. Most of my settings are manual. I found that NeuroShell has a hard time generalizing well out-of-sample when training data is not stationary so I use the GA very carefully making sure that the training range has similar volatility than the recent bars. I also adjust the range of other parameters (for example GroupStart, GroupDepth and the Lead) starting wide and narrowing down the range by steps. I also stop the optimization quite often to check the equity line on test data. If the line is not strong enough, I keep optimizing over and repeat the cycle a few times. If it does not work I adjust one of two ranges and starts optimizing from scratch.

Overall, CSSA makes this process quite easy. It's not very long before I find a good model .

Cheers,

Patrick

Quote:
Originally Posted by arryex View Post
Hi Patric,

I would like to know more detail how you modify the parameter to remove false signal, as you state:
"I simply played a bit with the parameters and quickly narrowed down a setting that gives signals very good at spotting breakouts"

I try to use full optimization to find best parameter, but still they resulting some noise/false signal.

I think you are Noxa Master
Arry
Attached Thumbnails
oscillator.gif  
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Old Mar 12, 2008, 2:52pm   #9
Joined Feb 2008
Noxa Indicator - Neuroshell Trader Guide

I verified the CSSA help then give me a preliminary conclusion that CSSA-Cycles is the first very important thing. All the setup signal/indicators started from defining the cycles parameters in order match with the price action (to catch peak and valley). Please correct me if I am wrong.

Follow your advice, if you do not mind, I would like to create the procedure to setup this parameter indicator. With your help/advice and comments. Hope every body can give some comments as wells.

Please find here attached pdf, I will give you the password to open is: !sttraderguide, include csv data file. Please PM me if you want the doc file for you modification. The file is open for any comment and the finest parameter setup not finished yet. Waiting your advice/comments.

Arry
Attached Files
File Type: pdf Noxa Trader Guide- Define CSSA-Cycles Parameter.pdf (399.6 KB, 4701 views)
File Type: zip EURUSD.zip (64.7 KB, 1077 views)
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Old Mar 12, 2008, 5:34pm   #10
P.Z
Joined Mar 2008
Noxa CSSA: how to set parameters

Hi Harry,

This is correct. After reading about Singular Spectrum Analysis I realized how powerful the concept was. Instead of measuring the market as most indicators do, SSA first looks at the fundamental cycles through the variance they account for in the data and then uses them to reconstruct the cyclic components with no lag. When the fit is good, the cycle is usually very resilient. As a matter of fact I was able to find cycles that last several years on EOD data. On the DIA for examples a few cycles keep working even during the subprime mortgage crisis .

As for setting up the parameters, I would say that each instrument requires a specific approach. To me it will be quite challenging or even impossible to write down a process that applies to any timescale and trading strategy. I personally prefer to keep my mind as opened as possible so that I can adjust to changes in market regimes...

Patrick
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Old Mar 12, 2008, 11:43pm   #11
Joined Feb 2008
Fine tune sample

Hi Patrick,

Is it possible for you try to find the parameter tuning for data file that I attached (EUR/USD.zip). It is 1m forex data file, mean time I try it by myself.

Thanks
Arry
Quote:
Originally Posted by P.Z View Post
Hi Harry,

This is correct. After reading about Singular Spectrum Analysis I realized how powerful the concept was. Instead of measuring the market as most indicators do, SSA first looks at the fundamental cycles through the variance they account for in the data and then uses them to reconstruct the cyclic components with no lag. When the fit is good, the cycle is usually very resilient. As a matter of fact I was able to find cycles that last several years on EOD data. On the DIA for examples a few cycles keep working even during the subprime mortgage crisis .

As for setting up the parameters, I would say that each instrument requires a specific approach. To me it will be quite challenging or even impossible to write down a process that applies to any timescale and trading strategy. I personally prefer to keep my mind as opened as possible so that I can adjust to changes in market regimes...

Patrick
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Old Mar 13, 2008, 12:26am   #12
P.Z
Joined Mar 2008
Well, it won't be easy. I use only the EOD version of NeuroShell Trader Pro. I am also currently testing their beta version for MetaStock Intraday but I don't subscribe to the Forex data. As a matter of fact I know for sure that trading the Forex is quite challenging.

I'll try to convert the CSV file but don't be surprised if you don't hear from me on this.

Patrick


Quote:
Originally Posted by arryex View Post
Hi Patrick,

Is it possible for you try to find the parameter tuning for data file that I attached (EUR/USD.zip). It is 1m forex data file, mean time I try it by myself.

Thanks
Arry
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Old Mar 15, 2008, 8:29am   #13
Joined Feb 2008
Do you think I crack forex with Noxa!!!

Friends,
Here are my update, after insisting to learn more detail about noxa, I created about 5 trading strategy respectively using Qphase, Cycle, Oscillator, Built in signal, S/R violation and one special combination.

Applied in Forex market (mini account), EURUSD 15m, Trading strategy rules (as mentioned on noxa help), trading: as many as possible with $500 initial account, Dates: opt 5 days & paper trade in last 2 days, Cost: $2 per trade entry/exit for spread & $100 margin, optimization criteria: Maximize (win - loss)*profit.

Here you can see below the chart for all trading strategy and the system equity for each.

Happy trading...
Arry
"Keep Learning..and learning prior to success...."
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all-noxa-ts.jpg   big-noxa-ts.jpg   equity-noxa.jpg  

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Thanks! The following members like this post: FX_boy
Old Mar 16, 2008, 12:02pm   #14
Joined Feb 2008
Real Trade simulation with Noxa #1

Here is one of trading result sample using Noxa, the gray candles used for optimization, orange candles for paper trade and green for real trade. No optimization during the real trade.

One day trade simulation result: 1st trade= 50 pips, 2nd trade=42 pips, 3rd trade=75 pips, 4th trade =17 pips (open trade).

Arry
Keep learning ..and learning prior to success!!!
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Old Mar 16, 2008, 12:33pm   #15
 
insight2's Avatar
Joined Sep 2006
I can tell you guys, you persuaded me to go for NOXA instead of MESA8.

cheers, dejan
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