Neural Network Observations

[Nick]

Anyone else seeing that the NN will only using a subtraction function for the Inputs?  I've had the builder running for over 48 hours now with a new populations every 10 generations and I've yet to see anything with just a single variable for an input or any other math other than subtraction.  Anyone else seeing this behavior?

                NNInputs[0] = VarL1[0] - VarL2[0];
                NNInputs[1] = VarL4[0] - VarL5[0];
                NNInputs[2] = VarL7[0] - VarL8[0];
                NNInputs[3] = VarL10[0] - VarL11[0];

[MikeBryant]

Have you looked at a wide selection of strategies from the initial population; i.e., not just the top ones? If you're only looking at the top ones and those are similar, it could just be that those are the best inputs based on your market and/or settings. If you want to see the variety of inputs that the program is considering, stop it after the initial population, sort by member number, rather than the default sorting of "strategy", and start examining each strategy. As long as you're saving all members of the population, that will present the strategies in random order, showing you the variety of inputs it starts with.

[Nick]

I've gone through over 100 strategies in over a dozen populations, regardless of performance.  I did exactly what you said about sorting by member number and there is zero variance in the inputs.  It's all VarX - VarY.  The number of inputs changes, and the input variables themselves change but it's always in a VarX - VarY form.

--
You received this message because you are subscribed to the Google Groups "Adaptrade Builder" group.
To unsubscribe from this group and stop receiving emails from it, send an email to adaptrade-buil...@googlegroups.com.
To view this discussion visit https://groups.google.com/d/msgid/adaptrade-builder/a8f84a25-1e94-4133-95a0-2523de0406c3n%40googlegroups.com.

[MikeBryant]

What about your indicators? Have you restricted the indicator set to specific indicators?

[Nick]

Yes. I restricted it to 12 custom indicators, all price based.  When they get set in the regular entry/exit conditions, it seems to apply the genetic algorithm properly to create different expressions. However, the neural network always reside to X - Y form.

To view this discussion visit https://groups.google.com/d/msgid/adaptrade-builder/643314ee-b3e5-44b3-b808-3dafe722223en%40googlegroups.com.

[MikeBryant]

That's why. If you only have custom price indicators, there's not much it can with them as neural net inputs. Price by itself does not make a very good input, so the program takes a price difference. I suggest adding back some indicators that can operate on price, such as moving averages and highest/lowest. That way, the program can apply those indicators to your custom indicators to get more interesting combinations.

[Nick]

I'm not following your logic.  If you make the assumption price is not a good input for a NN, I should at least then see the NN have an input of JUST the specific indicator as well as the X-Y expression.  I can understand if nothing more complex than X-Y is produced, but a less complex expression as the indicator itself being an input to the neural network is a highly probably outcome if the genetic algorithm is working, wouldn't you agree?

To view this discussion visit https://groups.google.com/d/msgid/adaptrade-builder/06f4b89b-c805-44c0-9f64-d6524dd2c911n%40googlegroups.com.

[MikeBryant]

You wrote ".. a less complex expression as the indicator itself being an input to the neural network is a highly probably outcome if the genetic algorithm is working, wouldn't you agree ". I don't know what you mean. I'm only pointing out that in my experience, price does not make a very good input, so it's designed to not use price that way.

[Nick]

Let me rephrase.  For the record, I don't agree with your statement that price doesn't make a good NN input.  But if we assume that is INDEED the case, then a NN input of (CustomIndicatorPrice2 -  CustomIndicatorPrice1) should be just as likely, or even less likely, than a NN input of just CustomIndicatorPrice1.

That make sense?  I should be able to see that as an input somewhere in the build process and it's not happening.  It is my conclusion that the NN inputs are stuck in X-Y expression.

To view this discussion visit https://groups.google.com/d/msgid/adaptrade-builder/64a72af0-5e64-429b-9d82-ba284ec25c41n%40googlegroups.com.

[MikeBryant]

It's not likely because, as I said, it's designed to not produce inputs consisting of a single price; i.e., a simple price is not possible. It's only stuck on price differences because you only gave it simple prices; that's all it can do with a simple price. As I suggested, you would be better off adding some complexity by including other price functions (MA, Highest, Lowest, etc.).