From the April 2013 issue of Futures Magazine • Subscribe!

Casting neural nets into modern markets

Our tests will use the following basket of markets: Australian dollar, cotton, dollar index, euro, Japanese yen, Swiss franc, sugar and natural gas. Our analysis covers Jan. 4, 1989, to Jan. 29, 2013. The results of the optimization, with $75 per trade deducted for slippage and commissions, are shown in “First run” (below). There is a nice area of performance around the parameters 38 and 60, clearly the best set. That the parameters on each side of this set are also viable suggests that this is a robust combination. 

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