Back Testing results for Gold daily data
These are the results of express Back Testing provided for daily Gold data. The applied models have been already back tested for Dow Jones Industrial index and Euro/USD. It helped us to speed up the process of Back Testing procedure, however this approach does not guarantee that the proposed Solutions are the best ones.
There are two suggested models: red line - spectrum model and blue line - dynamic model. Here you can see the outlook for these solutions calculated on 10 random intervals http://www.timingsolution.com/TS/BT/Gold/outlook.htm
The forecast horizon for this model is 10-25 price bars ahead (1 month). Recommended index is Relative Price Oscillator (1,25,25):
| MA1=Moving Average Period | 1 |
| MA2=Moving Average Period | 25 |
| MA3=Moving Average Period | 25 |
This is the Back Testing report:
Model
dynamic_model.hpp
dynamic_model.hpp
dynamic_model.hpp
dynamic_model.hpp
spectral nn model
(sm=12.00;ov=15;min=7)spectral nn model
(sm=12.00;ov=5;min=11)spectral nn model
(sm=9.00;ov=32;min=9)spectral nn model
(sm=9.00;ov=7;min=9)
NN Topology
32 hidden
32 hidden
32 hidden
32 hidden
32 hidden
32 hidden
32 hidden
32 hidden
Training Mode
2000 before LBC
train 15000 steps 1000 before LBC
train 15000 steps 750 before LBC
train 15000 steps 500 before LBC
train 15000 steps 1000 before LBC
train 15000 steps 1000 before LBC
train 15000 steps 500 before LBC
train 15000 steps 500 before LBC
train 15000 steps
+/- Statistics
+109 / -91 ChSq=0.8
+112 / -88 ChSq=1.4
+106 / -94 ChSq=0.4
+104 / -96 ChSq=0.2
+111 / -89 ChSq=1.2
+112 / -88 ChSq=1.4
+121 / -79 ChSq=4.4
+96 / -104 ChSq=0.2
Average (r,dev)
r=0.046 dev=0.0415
r=0.091 dev=0.0409
r=0.057 dev=0.0403
r=0.043 dev=0.0386
r=0.089 dev=0.0338
r=0.083 dev=0.0343
r=0.123 dev=0.0269
February 8, 2006