MarketTrak Question/Comment Message

Posted By: david   Date: Sat Jul 17, 2010

Title: new experimental model?

  Your forecast page as of July 16th says that you are "working on" a new experimental model that does well usually but fails in times of high volatility . . .
 I wish to see if I understand this correctly. You have several dozen models working at any one time, and for a model to do inputs, it must maintain a certain accuracy % rate. If models are more accurate, they get a higher weighting. This new experimental model is one that would be added to the list of several dozen, if you can make it work with some reasonable accuracy?
  How would this model have done in the 3 major recent times we have had drawdown while the ANO was > .2, speaking of mid-January into feb and then early May, and then, again in mid-June?

  This model is completely different from our standard forecast model. It is a numerical experiment to test an idea of forecasting the length of market cycles rather than the market's direction. It doesn't use neural networks and it doesn't employ evolutionary learning models. It is also not a regression analysis. As I said on the forecast page, it does very well for long periods of time but fails during times of high volatility. I think now that it may be possible to remove this weakness but more coding and testing is necessary. When I am further along, I will do some serious backtesting and will report results.

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