Financial Example

Hi All,

I’d love to give encog a try with a financial time series but I'm having a little trouble getting started. What I was hoping to try and do was use encog to make trade decisions.

I’m having a little trouble figuring out where to begin with a time series.

Would you use an array which would hold an entire time series ex: 900 prices?
(1 day of 30 second prices)

I was also trying to understand what types of inputs I'd need.

Inputs:
I also have the 12-15 inputs, things like moving average, parabolic, relative strength, acceleration, angle of least squares, ect…
I’m guessing I’d also have to add what

Inputs:
1. Indicator1 ex: (EMA, SMA, RSI, CCI, PAR, MACD)
2. …
3. Indicator12
4. CurrentPostion (Holding Long, Holding Short, Not Holding)
5. CurrentTime (The array of 900 is getting passed in, what’s the current position,)
6. Duration (how long you held the current position)
(example: its 11:35:30 and your next trade will execute 11:36:00)
6. Does it make sense to pass in some sort of look back value (like what just happened in the last 3 minutes)
7. Still thinking about more to add…

Outputs:
1. Buy to open a position (BTO) Buy
2. Sell to close a postion (STC) Sell
3. Sell to open a position (STO) Short
4. Buy to close a position (BTC) Cover
5. Hold Current position

I’m guessing the process would go something like:
1. Grab one day of data
2. Calculate all of the indicators
3. Then walk through the day from beginning to end, opening and closing positions (I’m guessing randomly to start with)
4. Calculate the results for the day (
5. Use the profit as a measure of success
6. Punish for over trading.
7. Restart

Any suggestions you might have or even just a pointer to a general direction would be really helpful!

Thanks all,

Chris

Here’s an example of one of the indicators…
Chart:
http://i.investopedia.com/inv/articles/site/SAR1.gif
Article:
http://www.investopedia.com/articles/technical/02/042202.asp

The vertical red and blue lines are prices of the stock. (Open High Low Close)
The little blue dots are the parabolic indicator.
When the dots are on the bottom they indicate hold a long position (if parabolic < hold long position)
When the dots are on the top they indicate hold a short position (if parabolic > hold short position)
Parabolic is great in trending markets but it fails in non-trending markets.
The idea would be to combine multiple indicators to make buy sell decision based on multiple indicators.