Trading Strategies
Hybrid Expert System
A hybrid system based on a back propagation network combined with a hand-picked training set picked by an expert. The goal was to generate trades only when the probability of success was high. The network itself was trained against 9 years worth of data. The topology of the network was the following:
- Input rank: 54
- Hidden layer rank: 54
- Other: some nodes were removed to prevent over fitting
This system generated returns of > 660% in a 25 month period with 2.3% max drawdown [1].
| [1] | http://scholarsmine.umr.edu/post_prints/pdf/00155192_09007dcc8030ba0a.pdf |
