Recent content by shanemr

More like the pair seem to stay in a band relative to each other. Imagine a bouncing ball. So you know if it is at the top of the band it will likely move down and if it is at the bottom of the band. It will likely move up.

Can somebody tell me the name of this specific trading style. You divide the price of one instrument by another. If the resulting series of values stays in a fixed band. Then you know there is a relatively steady relationship between the instruments. Then you can short or go long on a spread...

I have experience developing fully automated strategies for forex. There are plenty of great tools for doing this. What would you guys recommend for building and backtesting futures automated trading strategies? I am a c++ programmer so I'd ideally like a system that uses c or c++ style syntax...

I have experience developing fully automated strategies for forex. There are plenty of great tools for doing this. What would you guys recommend for building and backtesting futures automated trading strategies? I've found "Strategy Automation Station" by Strategy Runner but it seems quite...

Grant, Yes, real-time predictions are the ultimate goal. The neural network that performs the prediction runs quite fast. The computationally intensive task is evolving the networks in the first place. But this can be sped up using a cluster of cheap computers. There is also an adaptation of...

Alex, Yes exactly. I was working too hard to come up with an appropriate analogy :) But you are right. To a certain degree that is exactly what I am doing. Shane

Hi Alexander, The thing is I am approximating a solution to the system. So my approach is analogous to a taylor expansion rather than a algebraic rewriting of the equations. In this analogy the linear term is one of the terms in the Taylor expansion and the output of the neural network is...

grantx, Well it is true that the ranking of networks may change as the inputs change. I calculate the fitness over a long series of input patterns. So the nets have to be very dynamic and generalize well to obtain a high fitness over a large number of patterns. Presenting many patterns is also...

Hi Alexander, To prevent simple linear extrapolation I pre-process the data that I am feeding into the network to remove the simple linear components. This leaves the more difficult to predict (presumably) non-linear components of the time series. Then, after I am done my prediction, on the...

Genetic algorithms are a very large area. But basically they are algorithms that have been inspired by nature. Typically these methods use the concepts of mating, selection, crossover, mutation etc. What I am doing is evolving a population of neural networks (a technology inspired by the human...

Both excellent ideas thanks. I am a researcher using genetic algorithms to find relationships with the EUR/USD FX. So I am trying to find new inputs to help. If you think of any others please tell me. Regards, Shane

Does anyone know of any indicators that have a high correlation with the USD/EUR FX? I know that interest rate differentials and other currency pairs have high correlations. But can anyone think of any others? Regards, Shane