MarketTrak Question/Comment Message

Posted By: Chris   Date: Mon Jul 23, 2007

Title: Network averaging

  How many networks are you using to compute the forecast and how are their results averaged?

  The forecast library currently contains 119 networks. Previous versions have contained as many as 400. We update the forecast library a few times a year, removing networks that are not performing well and adding new ones that do.

 We compute an average network output (ANO) from a weighted sum over the individual networks. Until recently, the weights were based on how accurate the networks were over the past year. More accurate networks got a greater weight than those that were less accurate.

 Now, we use a non-linear solution procedure to find the set of weights that maximizes the return computed by the trading model. This procedure is a bit more complex but it seems to be working well.

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