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Test Results

Based on the second strategy preprocessor selected 193 trade periods in 2002. The acquired result was as following:

  1. System selected 109 negative trade periods. If it traded during these periods it would loose 377,950.00 $
  2. System selected 84 positive trade periods. If it traded during these periods it would gain 506,450.00 $

When Artificial Foreteller was used the following result was obtained:

  1. System managed to recognize 59 from 109 negative periods of trade as negative periods and managed to avoid loss of 215,000.00$.
  2. System made wrong prediction in 44 negative trade periods and lost was 131,400.00 $.
  3. System recognized 10 periods as unknown.
  4. System made correct prediction in 40 trade periods and gain was 254,250.00 $.
  5. System recognized as negative 40 positive trade periods and did not obtained 218,115.00 $. This happened only because Artificial Foreteller was not trained on these types of trade periods.

NOTE: During unknown periods system did not trade.

Preprocessor managed to select trade periods in such a manner that totals was 128,500.00 $

If Artificial Foreteller traded it would gain 254,250.00 - 131,400.00 = 122,850.00 $.

Tables with results for 2000 - 2002 in Excel format and corresponding files for demo version of Foreteller can be downloaded here

A table below contains results of tick data analysis for 2002

 

Date Time DT Recognition FOR AGAINST POS/NEG Profit Unfavorable periods Lost Gain (system did not recommend to trade this period) ERROR PROGNOSIS Correct prognosis Correct guess of losses
12.31.01 12:34:00 L - 0.06 0.07 - -8050 -8050 * * * -8050
01.02.02 9:31:00 S - 0.21 0.25 + 2650 * 2650 * * *
01.02.02 14:36:00 L + 0.06 0.04 + 11200 * * * 11200 *
01.04.02 12:34:00 S - 0.02 0.02 - -4000 -4000 * * * -4000
01.04.02 15:14:00 L - 0.06 0.07 - -2250 -2250 * * * -2250
01.07.02 12:34:00 S - 0.09 0.09 + 2400 * 2400 * * *
01.08.02 13:35:00 L + 0.21 0.17 - -2700 -2700 * -2700 * *
01.08.02 15:14:00 S + 0.08 0.04 - -6700 -6700 * -6700 * *
01.09.02 10:32:00 L - 0.25 0.28 - -7750 -7750 * * * -7750
01.09.02 15:14:00 S - 0.09 0.11 + 1350 * 1350 * * *
01.10.02 12:34:00 L + 0.08 0.05 + 2500 * * * 2500 *
01.11.02 9:31:00 S + 0.06 0.04 + 6100 * * * 6100 *
01.15.02 10:32:00 L + 0.17 0.14 - -2400 -2400 * -2400 * *
01.15.02 13:35:00 S + 0.1 0.04 - -3450 -3450 * -3450 * *
01.16.02 9:31:00 L - 0.23 0.24 - -7100 -7100 * * * -7100
01.17.02 9:31:00 S - 0.07 0.1 - -1650 -1650 * * * -1650
01.17.02 12:34:00 L + 0.2 0.2 - -3250 -3250 * -3250 * *
01.18.02 10:32:00 S + 0.21 0.21 + 0 * * * 0 *
01.18.02 13:35:00 L + 0.24 0.23 - -1800 -1800 * -1800 * *
01.22.02 11:33:00 S - 0.11 0.12 + 400 * 400 * * *
01.23.02 12:34:00 L - 0.06 0.09 + 1500 * 1500 * * *
01.24.02 9:31:00 S + 0.08 0.06 - -1300 -1300 * -1300 * *
01.24.02 12:34:00 L - 0.07 0.09 - -1600 -1600 * * * -1600
01.25.02 9:31:00 S + 0.2 0.18 - -4150 -4150 * -4150 * *
01.25.02 12:34:00 L + 0.16 0.13 - -1550 -1550 * -1550 * *
01.28.02 11:34:00 S + 0.11 0.09 + 1250 * * * 1250 *
01.28.02 15:14:00 L N 0.14 0.14 - -9850 -9850 * * * *
01.29.02 12:34:00 S - 0.19 0.21 + 400 * 400 * * *
01.30.02 15:14:00 L + 0.02 0.01 + 7900 * * * 7900 *
02.01.02 10:32:00 S + 0.18 0.15 + 1750 * * * 1750 *
02.04.02 9:31:00 L + 0.14 0.14 - -4850 -4850 * -4850 * *
02.04.02 11:33:00 S + 0.14 0.13 + 5750 * * * 5750 *
02.05.02 14:36:00 L N 0.01 0.01 - -6600 -6600 * * * *
02.06.02 15:14:00 S - 0.02 0.05 - -3550 -3550 * * * -3550
02.07.02 12:34:00 L - 0.13 0.14 - -3500 -3500 * * * -3500
02.07.02 15:14:00 S - 0.06 0.07 - -1050 -1050 * * * -1050
02.08.02 11:33:00 L + 0.25 0.21 + 9250 * * * 9250 *
02.12.02 10:32:00 S + 0.17 0.15 - -2750 -2750 * -2750 * *
02.12.02 13:35:00 L - 0.05 0.07 + 3300 * 3300 * * *
02.13.02 12:34:00 S - 0.12 0.15 - -1500 -1500 * * * -1500
02.14.02 9:31:00 L + 0.13 0.1 - -3150 -3150 * -3150 * *
02.14.02 15:14:00 S N 0.11 0.11 + 14400 * * * * *
02.20.02 10:32:00 L - 0.01 0.01 - -4600 -4600 * * * -4600
02.20.02 12:34:00 S N 0.15 0.15 - -9650 -9650 * * * *
02.20.02 15:14:00 L + 0.09 0.08 - -250 -250 * -250 * *
02.21.02 11:33:00 S + 0.15 0.15 - -1350 -1350 * -1350 * *
02.21.02 13:35:00 L - 0.06 0.07 - -7100 -7100 * * * -7100
02.21.02 15:14:00 S - 0.16 0.24 - -3100 -3100 * * * -3100
02.22.02 15:14:00 L - 0.15 0.18 + 8000 * 8000 * * *
02.27.02 15:14:00 S - 0 0.01 - -7600 -7600 * * * -7600
02.28.02 10:32:00 L - 0.24 0.3 - -3200 -3200 * * * -3200
02.28.02 14:36:00 S + 0.12 0.1 - -4500 -4500 * -4500 * *
03.01.02 11:33:00 L - 0.26 0.3 + 12750 * 12750 * * *
03.05.02 14:36:00 S - 0.02 0.05 - -4050 -4050 * * * -4050
03.06.02 12:34:00 L + 0.16 0.15 + 1800 * * * 1800 *
03.07.02 11:33:00 S - 0.06 0.09 + 50 * 50 * * *
03.08.02 9:31:00 L - 0.16 0.19 - -850 -850 * * * -850
03.08.02 13:35:00 S - 0.04 0.08 + 1850 * 1850 * * *
03.11.02 11:33:00 L - 0.03 0.04 - -2600 -2600 * * * -2600
03.12.02 10:32:00 S - 0.19 0.19 - -1200 -1200 * * * -1200
03.12.02 12:34:00 L + 0.44 0.44 + 250 * * * 250 *
03.13.02 10:32:00 S - 0.11 0.12 + 3250 * 3250 * * *
03.14.02 9:31:00 L + 0.19 0.16 - -650 -650 * -650 * *
03.14.02 14:37:00 S + 0.08 0.07 - -3150 -3150 * -3150 * *
03.15.02 10:32:00 L - 0.09 0.11 + 1350 * 1350 * * *
03.18.02 12:34:00 S - 0.02 0.04 - -1400 -1400 * * * -1400
03.19.02 9:31:00 L - 0.26 0.33 - -5900 -5900 * * * -5900
03.20.02 10:32:00 S - 0.05 0.09 + 7000 * 7000 * * *
03.21.02 14:36:00 L - 0.15 0.15 + 1950 * 1950 * * *
03.22.02 14:36:00 S - 0.11 0.13 + 1500 * 1500 * * *
03.26.02 10:32:00 L + 0.19 0.16 - -5300 -5300 * -5300 * *
03.26.02 15:14:00 S - 0.15 0.15 - -4050 -4050 * * * -4050
03.27.02 11:33:00 L - 0.11 0.11 + 2150 * 2150 * * *
03.28.02 12:34:00 S - 0.07 0.08 - -250 -250 * * * -250
03.28.02 15:14:00 L - 0.09 0.12 - -7600 -7600 * * * -7600
04.01.02 10:32:00 S - 0.16 0.17 - -3500 -3500 * * * -3500
04.01.02 13:35:00 L - 0.14 0.16 - -2400 -2400 * * * -2400
04.02.02 13:35:00 S + 0.1 0.09 + 3750 * * * 3750 *
04.03.02 13:35:00 L + 0.2 0.18 - -4650 -4650 * -4650 * *
04.03.02 15:14:00 S - 0.11 0.13 - -4600 -4600 * * * -4600
04.04.02 10:32:00 L - 0.24 0.28 - -3400 -3400 * * * -3400
04.04.02 14:36:00 S + 0.14 0.1 - -2700 -2700 * -2700 * *
04.05.02 10:32:00 L - 0.07 0.11 - -4250 -4250 * * * -4250
04.05.02 12:34:00 S + 0.23 0.2 + 2550 * * * 2550 *
04.08.02 11:33:00 L + 0.08 0.06 + 3000 * * * 3000 *
04.09.02 13:35:00 S - 0.05 0.06 - -1900 -1900 * * * -1900
04.10.02 11:33:00 L - 0.4 0.41 - -1950 -1950 * * * -1950
04.10.02 13:35:00 S + 0.11 0.07 - -4000 -4000 * -4000 * *
04.10.02 15:14:00 L - 0.27 0.3 - -7750 -7750 * * * -7750
04.11.02 11:33:00 S + 0.04 0.04 + 3100 * * * 3100 *
04.12.02 13:35:00 L - 0.15 0.16 - -2100 -2100 * * * -2100
04.15.02 12:34:00 S - 0.13 0.17 - -1250 -1250 * * * -1250
04.15.02 14:36:00 L + 0.22 0.15 - -1900 -1900 * -1900 * *
04.16.02 9:31:00 S + 0.13 0.11 - -5100 -5100 * -5100 * *
04.16.02 11:33:00 L - 0.31 0.38 + 0 * 0 * * *
04.17.02 14:37:00 S - 0.03 0.07 - -600 -600 * * * -600
04.18.02 14:36:00 L + 0.25 0.23 + 250 * * * 250 *
04.19.02 14:36:00 S + 0.14 0.13 + 9250 * * * 9250 *
04.23.02 11:33:00 L - 0.01 0.02 - -3250 -3250 * * * -3250
04.23.02 15:14:00 S + 0.15 0.11 - -2750 -2750 * -2750 * *
04.24.02 11:33:00 L + 0.04 0.03 - -2100 -2100 * -2100 * *
04.24.02 14:36:00 S + 0.16 0.05 + 6650 * * * 6650 *
04.25.02 14:36:00 L + 0.08 0.03 - -2150 -2150 * -2150 * *
04.26.02 11:33:00 S + 0.08 0.05 + 3500 * * * 3500 *
04.30.02 11:33:00 L - 0 0.01 - -1050 -1050 * * * -1050
05.01.02 9:31:00 S - 0.05 0.09 - -100 -100 * * * -100
05.01.02 13:35:00 L - 0.19 0.19 + 3950 * 3950 * * *
05.02.02 13:35:00 S - 0.02 0.04 + 3950 * 3950 * * *
05.03.02 14:36:00 L - 0.04 0.04 - -1750 -1750 * * * -1750
05.06.02 10:32:00 S + 0.11 0.04 + 1100 * * * 1100 *
05.08.02 10:32:00 L - 0.04 0.06 + 3700 * 3700 * * *
05.09.02 10:32:00 S N 0.02 0.02 - -750 -750 * * * *
05.09.02 14:36:00 L + 0.11 0.07 - -2850 -2850 * -2850 * *
05.10.02 9:31:00 S - 0.16 0.17 + 4250 * 4250 * * *
05.13.02 11:33:00 L - 0.01 0.01 + 13300 * 13300 * * *
05.15.02 10:32:00 S - 0.06 0.1 - -2200 -2200 * * * -2200
05.15.02 13:35:00 L + 0.09 0.08 - -2650 -2650 * -2650 * *
05.16.02 12:34:00 S + 0.12 0.11 - -2500 -2500 * -2500 * *
05.16.02 15:14:00 L + 0.18 0.13 + 1400 * * * 1400 *
05.17.02 12:34:00 S - 0.06 0.06 - -1050 -1050 * * * -1050
05.17.02 15:14:00 L - 0.13 0.15 - -4550 -4550 * * * -4550
05.20.02 11:33:00 S + 0.09 0.06 - -1500 -1500 * -1500 * *
05.20.02 13:35:00 L N 0.14 0.14 - -4200 -4200 * * * *
05.21.02 11:33:00 S + 0.13 0.11 + 750 * * * 750 *
05.23.02 10:32:00 L + 0.1 0.09 - -1900 -1900 * -1900 * *
05.23.02 12:36:00 S + 0.15 0.15 - -2000 -2000 * -2000 * *
05.23.02 14:38:00 L + 0.33 0.33 + 450 * * * 450 *
05.24.02 11:33:00 S + 0.16 0.13 + 6300 * * * 6300 *
05.29.02 9:31:00 L + 0.04 0.02 + 350 * * * 350 *
05.29.02 11:33:00 S - 0.17 0.17 + 0 * 0 * * *
05.29.02 14:36:00 L - 0.07 0.09 - -2100 -2100 * * * -2100
05.30.02 9:31:00 S + 0.19 0.18 - -3250 -3250 * -3250 * *
05.30.02 15:14:00 L - 0.17 0.18 + 850 * 850 * * *
05.31.02 15:14:00 S - 0.15 0.22 + 11850 * 11850 * * *
06.05.02 10:32:00 L + 0.01 0.01 - -750 -750 * -750 * *
06.05.02 12:34:00 S - 0.11 0.12 - -2450 -2450 * * * -2450
06.05.02 15:14:00 L + 0.28 0.25 - -8350 -8350 * -8350 * *
06.06.02 11:33:00 S + 0.09 0.03 + 3650 * * * 3650 *
06.07.02 12:34:00 L - 0.01 0.02 + 5900 * 5900 * * *
06.10.02 14:36:00 S - 0.19 0.2 + 0 * 0 * * *
06.11.02 10:32:00 L - 0.06 0.09 - -5000 -5000 * * * -5000
06.11.02 13:35:00 S + 0.07 0.06 + 3000 * * * 3000 *
06.13.02 9:31:00 L + 0.15 0.13 - -2500 -2500 * -2500 * *
06.13.02 15:14:00 S + 0.05 0.04 + 6600 * * * 6600 *
06.14.02 12:34:00 L + 0.19 0.19 + 18800 * * * 18800 *
06.18.02 13:35:00 S + 0 0 - -900 -900 * -900 * *
06.18.02 15:14:00 L + 0.36 0.32 - -4350 -4350 * -4350 * *
06.19.02 13:35:00 S - 0.07 0.08 + 13850 * 13850 * * *
06.24.02 14:36:00 L - 0 0.01 - -1150 -1150 * * * -1150
06.25.02 12:34:00 S - 0.19 0.23 + 14150 * 14150 * * *
06.26.02 15:14:00 L + 0.03 0.01 + 13150 * * * 13150 *
06.28.02 13:35:00 S - 0.17 0.23 + 25250 * 25250 * * *
07.03.02 14:36:00 L N 0.01 0.01 + 13900 * * * * *
07.08.02 12:34:00 S - 0.16 0.19 - -100 -100 * * * -100
07.09.02 11:33:00 L + 0.13 0.12 - -6600 -6600 * -6600 * *
07.09.02 14:36:00 S - 0.1 0.1 + 24900 * 24900 * * *
07.11.02 13:35:00 L N 0.01 0.01 + 3250 * * * * *
07.12.02 14:36:00 S + 0.03 0.01 - -300 -300 * -300 * *
07.16.02 9:31:00 L + 0.24 0.21 + 1750 * * * 1750 *
07.16.02 14:36:00 S - 0.03 0.03 + 4750 * 4750 * * *
07.17.02 14:36:00 L + 0.02 0.02 - -1750 -1750 * -1750 * *
07.18.02 13:35:00 S + 0.12 0.12 + 33750 * * * 33750 *
07.22.02 14:36:00 L - 0.13 0.13 - -6100 -6100 * * * -6100
07.23.02 9:31:00 S - 0.27 0.28 + 7500 * 7500 * * *
07.24.02 11:33:00 L + 0 0 + 13500 * * * 13500 *
07.25.02 13:35:00 S - 0.17 0.2 - -8950 -8950 * * * -8950
07.29.02 9:31:00 L + 0.01 0.01 + 13100 * * * 13100 *
07.30.02 15:14:00 S - 0 0.01 + 0 * 0 * * *
07.31.02 12:34:00 L + 0.06 0.03 - -750 -750 * -750 * *
08.01.02 10:32:00 S + 0.19 0.16 + 15250 * * * 15250 *
08.05.02 9:31:00 L - 0 0.01 - -6000 -6000 * * * -6000
08.05.02 11:33:00 S - 0.25 0.26 - -9500 -9500 * * * -9500
08.06.02 11:33:00 L + 0.03 0.03 - -2500 -2500 * -2500 * *
08.07.02 9:31:00 S + 0.08 0.05 + 1100 * * * 1100 *
08.07.02 15:14:00 L + 0.06 0.04 + 16850 * * * 16850 *
08.09.02 13:35:00 S - 0.15 0.17 - -2100 -2100 * * * -2100
08.09.02 15:14:00 L - 0.12 0.16 - -5750 -5750 * * * -5750
08.12.02 10:32:00 S - 0.17 0.25 - -3850 -3850 * * * -3850
08.12.02 15:14:00 L - 0.06 0.06 + 1350 * 1350 * * *
08.13.02 13:35:00 S - 0.05 0.07 + 3600 * 3600 * * *
08.14.02 14:36:00 L - 0.02 0.03 + 12000 * 12000 * * *
08.16.02 10:32:00 S - 0.16 0.18 - -2650 -2650 * * * -2650
08.16.02 14:38:00 L + 0.16 0.12 + 8650 * * * 8650 *
08.19.02 15:14:00 S - 0.01 0.03 + 6400 * 6400 * * *
08.20.02 14:36:00 L + 0.04 0.03 + 2250 * * * 2250 *
08.21.02 15:14:00 S - 0.03 0.05 - -9650 -9650 * * * -9650
08.22.02 10:32:00 L N 0.09 0.09 - -500 -500 * * * *
08.22.02 14:36:00 S - 0.08 0.08 + 4800 * 4800 * * *
08.23.02 14:36:00 L + 0.07 0.05 - -7400 -7400 * -7400 * *
08.26.02 11:33:00 S - 0.04 0.08 - -5250 -5250 * * * -5250
08.26.02 14:36:00 L - 0.07 0.09 - -1250 -1250 * * * -1250
08.27.02 13:35:00 S + 0.06 0.04 + 12700 * * * 12700 *
08.29.02 11:33:00 L N 0.01 0.01 + 2500 * * * * *
 
              128500 -377950 218150 -131400 254250 -215000
                         
                         
                    Profit = 122850  

As it can be seen from the tables, result of trade during 2000 was not good though results of trade during next two years show quite optimistic results.

 

System demonstrated stable improvement of its prediction ability when it was additionally trained on additional historic tick data.

This result was obtained with help only tick data. We did not use volume and other relevant data because we did not have it. We believe that if additional information were used for network train then result would be much better.

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