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                                                   Regarding predictions using ANN

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GS
2012-11-14 07:52:36


Hi,

I have trained an ANN model using eod data of NIFTY index, now I want to use this model to predict the close of next week (Friday) for the nifty 50 stocks. How do I do this?

I was trying to use the following :

a = predict("", "FirstANN");

but it is always showing predicted value of NIFTY. I could see a function PredictSymbol, could you please explain how to use it?

Also, do let me know if I can use ANN for both long and short trades using QS 2.8.5. I believe it should be, please correct me if I am wrong.

Thanks,



QuantShare
2012-11-14 11:18:56

  0

"PredictSymbol" returns whether the model data was trained using the specified symbol.

"Predict" returns the prediction value based on model inputs. If you trained your model using RSI and SMA data of Nifty then when executed on another symbol, it will return the prediction based on the RSI and SMA of the other symbol.

Yes, you can use ANN in long and short strategies.




GS
2012-11-14 11:32:48

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I understand what "predict" is returning, but I want to know how I can use the model I trained using NIFTY data on other symbols? I mean the symbols which were not used at the time of training the ANN model.

Basically I want to have a screener, having 155 symbols and use this ANN model to filter symbols for buy and sell. I also want to do the back testing using the same model.



QuantShare
2012-11-14 17:53:09

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The "predict" function always use the current symbol data even if it is trained using another symbol.


GS
2012-11-14 18:51:32

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I am sorry, it is not working, please see the following screener:

a = predict("", "FirstANN");
buy = a > close;
var1 = close > 10 and buy;
filter = var1;
AddColumn("buy",buy);
AddColumn("prediction",a);

The "partial" output of running this screener is the following:

Symbol close buy prediction
ADANIENT 224.8000 1.0000 325.5955
ADANIPORTS 128.9000 1.0000 325.7526
ADANIPOWER 48.1000 1.0000 325.7908
ALBK 142.2500 1.0000 325.2915
ALOKTEXT 11.8500 1.0000 332.7421
AMBUJACEM 210.3000 1.0000 325.4524
ANDHRABANK 105.3500 1.0000 325.7687

I trained the "FirstANN" using the close of RAYMOND, which was around "325"

I would appreciate if you could suggest the corrections to this screener.



QuantShare
2012-11-15 15:47:25

  0

Of course, if you train the model using RAYMOND data then applying it on other stocks will get you wrong results.
You will have to create a model for each stock or one single model that is trained on all stocks data.



GS
2012-11-15 15:59:05

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OK, got it, and this is what I understood earlier, but your previous statement confused me. Any way, now it is clear to me. Thanks a lot.

Looks like we can max use 10 symbols to train the model, is it technical limitation (meaning no universal model can be created using ANN) or it is the limitation of QS?



QuantShare
2012-11-15 18:04:57

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It is a QuantShare limitation


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