Monday, June 9, 2014

Neural Network Generated Simple Moving Average


Below  is the  Neural network generated Simple Moving Average displayed on the AmiBroker.

The NN takes two  very simple inputs and  one output which is MA(C, 5).The input is scaled down to a range of  less than or equal to 1. 
The NN used the quickprop training algorithm. Note that I am unable to regenerate the exact output via re-training. However I managed to save the network to file when I first trained it and able to re-generate the original response using the saved net file.
The response looks quite interesting when the candle strength is not strong, it will give flat response. Observe the flat response in today's (09/06/2014) NIFTY future on hourly charts after gap-up opening. 
The V-shaped triggers should be avoided and it seems indicates whipsaws.
The lower pane shows the price chart with MA(C, 5) imposed on it.


    

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