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  1. #1
    Rookie Member NeuralTip's Avatar

    Market Predictability Index with Autoencoders !!!

    Hi guys,

    Wrote a interesting blog post on how I use Autoencoder neural networks to get a "Market Predictability" indicator from having them learn price volume movement patterns. Check it out here:

    http://neuraltip.com/analysis-blog-m...-autoencoders/

    Let me know of you guys have questions on it, theres a link to some example python code to implement it if any of you are not afraid of some programming.i

  2. #2
    Master Member Bogdan G's Avatar
    I tried to read it but I didnt understand much of it, mostly due to my lack of knowledge about the matter. When and if you translate that into a MT4 indicator, I will probably be able to understand it better.

  3. #3
    Rookie Member NeuralTip's Avatar
    Quote Originally Posted by Bogdan G View Post
    I tried to read it but I didnt understand much of it, mostly due to my lack of knowledge about the matter. When and if you translate that into a MT4 indicator, I will probably be able to understand it better.
    The general gist is that the neural network tries to construct the CURRENT chart data you feed it, except you take some parts away randomly (so you give the neural network incomplete information, and ask it to give you it's best attempt at reconstructing the full version of the partially destroyed input you fed it).

    This forces the neural network to use patterns etc. it's been trained on before to reconstruct what it sees going on currently in the market. If the neural network is successful in correctly constructing the current chart, then the current chart is assumed to be dictated by speculative traders/non-fundamental factors, if the neural network fails to reconstruct your current chart accurately, you know theres something else going on behind the scenes such as brand new news or institutional money.

    I am not able to convert this into MT4 or a EA because MT4 is a pain in the ass to bridge with Python.

  4. #4
    Active Member pipshunter's Avatar
    The neural networks are emerging and very useful tools for algorithmic traders but still have some difficulties to be applied in real time situations. The biggest problem is that it is not possible to backtest neural network strategy. It is entirely because of the nature of the neural networks. They work only on real time trading environment. I think there are ways to program neural networks for mt4, but not on Python but on c++. Where do you execute your Python codes NeuralTip? Is there a working environment for such activities?

  5. #5
    Master Member Bogdan G's Avatar
    Quote Originally Posted by NeuralTip View Post
    I am not able to convert this into MT4 or a EA because MT4 is a pain in the ass to bridge with Python.
    Then how are we going to use this for trading? Does it work on another trading platform? Does it work as a standalone software which traders can use? If "yes", then are you going to share it for free or it will be commercial?

  6. #6
    Rookie Member NeuralTip's Avatar
    Quote Originally Posted by Bogdan G View Post
    Then how are we going to use this for trading? Does it work on another trading platform? Does it work as a standalone software which traders can use? If "yes", then are you going to share it for free or it will be commercial?
    It works with passed in values for data, it is not meant for live intraday trading, but a daily indicator of overall market predictability. A real time version will not be free, a lagged daily one will be published for free on NeuralTip.com.

  7. #7
    Veteran Member hchandra's Avatar
    This one seems interesting,
    but need more research maybe, I believe this is trying to predict something like human behavior
    should be in mass-psychology area right?
    Something like: 10 years crises cycle, to get rich you only need to save up and when crises happen, buy everything that is good in 70-80% discount.

    I think I have seen this kind of prediction in ThinkOrSwim software where they provide real time prediction (Upper band, middle band and lower band) for everyone who have account with them. Well I don't use it because there are 3 probable scenarios and that is what sure think that is happen in trading,
    price either go up, go down, or go right. that is 100% sure.
    price never go to the left. that is 100% sure

  8. #8
    Rookie Member
    Sounds interesting.

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