TS Terra Incognita Project #8: Astro Expert System
Easy Start
This module is developed to help you to construct the projection line based on astro cycles.
Suppose you need to create a projection line for some financial instrument; let it be S&P500 index (in this example we analyze daily chart from 1970). The question arises: what model should we use to create this projection line? Following the steps of Donald Bradley in 1947, we can generate a projection line that is based on planetary aspects. We can do it with classical aspects. Or, going beyond Ptolemy aspects, we can take into consideration all angles between the planets; this is FAM model. We can add to our research planetary phases, waxing-waning aspects, planetary speed, declination and other phenomena ... How many models should we consider? One? Two? Hundred? Which one or ones? To get the answer to these questions, we used to run Neural Network module for different models, one at the time, calculate the projection line and then decide what projection line works better. The major problem here was dealing with too many versions, as we had to keep in mind all projection lines created by all these models.
Astro Expert System helps to do that job. It analyzes more than a hundred astro based models and applies all these models to your financial instrument. Among these models, the program picks up just a few of them; and these models are more suitable for your data.
It is very easy to use this module - run "Astro Expert System" module and click "Calculate" button there. Then the program works about 30-40 minutes (compare that to months and years that I used to spend watching different models) and provides you with the results. It calculates all possible models (from the groups of your choice), analyzes all projection lines provided by these models and displays the table that shows the performance of all these models. This is a sample of a table:
This table presents the "astro portrait" of your financial instrument, it shows the models that worth of your attention (you may want to look at these models in detail). In this particular case, model provides the best projection line. This is the content of this model:
It includes waxing-waning phenomena applied to declination Zodiac. For example event means that declination separation between the Moon and the Sun increases (i.e., it is a waxing aspect). Just imagine how many models you should try before getting this one... When a model is found, you can use it later as a basis and try to improve it by adding or deleting events that are included into the model.
As a final step you can display the projection line in the Main screen. Follow these steps:
We recommend to try several models. Do not rely on the formal math criteria here too much, they give you just a first glance on this model. Visual analysis is very important here as well.
Astro Expert System
To run this module you have to:
Download 3 years of price history at least. The more
price history you download, the more accurate results you get;
Run "Astro Exert System" module and "Calcuate" button there.
The idea of this module is very simple: it divides the price history by two intervals: training (=in sample=learning) and testing (=out of sample) intervals. The program analyzes more than a hundred of different models. It calculates the Neural Network for each projection line using the price history from the training interval and watches how this projection line forecasts the future on the testing interval. The best model provides the best projection line on the testing interval. The program rates all these models, so you can see what model forecasts the future the best way. This is how a typical report looks:
Longterm, midterm and intaday forecast models
When you run this module, you will find that some models there are available, and some are not. It depends on the available price history. For the models that provide longterm forecast, you have to download 15 years of the price history at least, better more. For the models that are marked as [MIDTERM], you have to download 3 years of the price history at least, and this model provides a forecast for one month. Intraday models are marked as [INTRADAY], to use them you have to download 4 months of intraday data at least:
Pay attention to the "Forecast Horizon" option:
You can set the models that will be applied. For example if you have downloaded 20 years price history you can apply both longterm and midterm models. Using this option you can choose thet models will be applied longterm or midterm. WE DO NOT RECOMMEND TO ANALYZE TOGETHER LONG TERM, MOON AND INTRADAY MODELS, BETTER APPLY THEM SEPARATELY.
Strong and stable models
To figure out the importance of any of these models, the program calculates the correlation between the projection line and the price (to be exact, the price oscillator - to eliminate the trend) on testing (out of sample) interval. So you can see the importance of each model:
But this is not enough. There are a lot examples when the model provides a perfect projection line, though it works for some time and then stops working. For example: within one year, some model provides the correlation 0.8; soon after that the correlation becomes practically a zero. In average, the correlation is still good enough, just because we have had a good correlation within one year. Definitely, this model is not a big help to us. We need to find stable models.
To figure out whether the model is stable, look at these colored bars:
You see here colored bars - lime and red. In this example the program divides the price history data on four equal intervals and calculates the correlation on all these intervals.
We have here three lime bars and one red bar. It means that on the three intervals this model provides a positive correlation and for one interval correlation is negative - i.e. the model does not work there. It is possible that this is inverted model, but we do not consider them now. The more lime bars means that the models are more stable.
So the rule of picking up the model is: the model should provide a good correlation and, at the same time, it should provide the maximum amount of lime bars, i.e. it has to be maximum stable.
There is no any formal criteria here. Better browse the most promising models. In order to do that, highlight the model you want to browse and click button.
The program will calculate Neural Network projection line for this model, and you can browse it through Main window.
In other words, running Astro Expert System you get the best model for your financial instrument. After that you can download this model as explained above.
Recommendation for creating intraday models
While creating intraday models, we do not recommend using too detailed price chart, such as 1 minutes price chart. 5-10 minutes price chart is enough for this model. Otherwise the calculation time will be too long.
Creating your own models
To create your own model, you have to create first the events file (*.hyp extension). You can do it using Model Editor. Then save this file into c:\TiminingSolution\Experts_v1\ directory. Pay attention to the name of this file:
This record means that this model is positioned in the Aspects section. You can run the model editor this way:
You can also create the model through Neural Network module and save it into file using this button:
Here are the examples of the models:
1) Here is the example of longterm model, the program puts this model into section "My models":
My models@Model1.hyp
This model is active when you have downloaded 15 years of price history and more.
2) File name
My models[midterm]@Model1.hyp
corresponds midterm model with forecast horizon one month, it is active when you have downloaded 3 years of price history and more.
4) File name
My models[intraday]@Model1.hyp
corresponds intraday model, it is active when you have downloaded 4 months of price history and more.