Contents

This notebook shows the results of different optimization runs.

Optimization 20 days

Name Value
Date: 20160331 by Ernst
Days in Training: 20
Days in Prediction: 10
Sequence Length: 500
Nr. of Features: 32
Results
Nr. of Epochs: 3400
Runtime per Epoch: 8 sec
Last Training Loss: 0.06 / acc: 99.9 %
Typical Result:
Sell Prediction C/P/T 2082/ 5650/ 5572
Buy Prediction C/P/T 2175/ 5506/ 7365
Pnl per Day: Avg ca -400
Comment: Error in Class assignment / Buy & Sell mistake; Excellent Convergence

Optimization 20 days, sequence len 5000

Name Value
Date: 20160403 by Ernst, still in progress
Days in Training: 20
Days in Prediction: 10
Sequence Length: 5000
Nr. of Features: 32
Results
Nr. of Epochs: 800
Runtime per Epoch: 60 sec
Last Training Loss: 0.1 / 95.5 %
Typical Result:
Sell Prediction C/P/T 1129/ 2298/ 5572
Buy Prediction C/P/T 1700/ 2488/ 7365
Pnl per Day: Avg ca 60
Comment: Convergence very bad. Aborted after approx 3500 iterations, no usable result, big losses

Optimization 20 days, sequence len 500, Signals without span

Signals were created using create_signals_bid_ask.py, without spy.

Name Value
Date: 20160411 by Ernst directory ufcnn4;
Days in Training: 72
Days in Prediction: 18
Sequence Length: 500
Nr. of Features: 32
Results
Nr. of Epochs: 2500
Runtime per Epoch: 60 sec
Last Training Loss: 0.02 / 99.5 %
Typical Result:
Sell: Prediction C/P/T 102/ 157/ 232
Buy: Prediction C/P/T 92/ 128/ 225
Hold: Prediction C/P/T 52199/ 52462/ 52290
Comment: Convergence excellent. nevertheless, big losses => TEST WHY

PnL: -277.00 InvestedTics: 53857 / 53866 PnL: -373.00 InvestedTics: 53876 / 53888 PnL: -450.00 InvestedTics: 54437 / 54469 PnL: -684.00 InvestedTics: 54927 / 55001 PnL: -787.00 InvestedTics: 53887 / 53947 PnL: -632.00 InvestedTics: 54640 / 54641 PnL: -1186.00 InvestedTics: 53782 / 53790 PnL: -708.00 InvestedTics: 54794 / 54805 PnL: -841.00 InvestedTics: 54070 / 54075 PnL: -700.00 InvestedTics: 54577 / 54583 PnL: -1101.00 InvestedTics: 53674 / 53679 PnL: -661.00 InvestedTics: 53490 / 53588 PnL: -794.00 InvestedTics: 53485 / 53540 PnL: -513.00 InvestedTics: 52732 / 52747 PnL: -458.00 InvestedTics: 52907 / 52914 PnL: -1029.00 InvestedTics: 54222 / 54226 PnL: -583.00 InvestedTics: 53679 / 53688 PnL: -699.00 InvestedTics: 53971 / 54092 PnL: -452.00 InvestedTics: 53605 / 53622 PnL: -732.00 InvestedTics: 54300 / 54325