Timing Solution Back Testing Report
Model : spectral nn model (Sm=12;ov=12;min=7;r=1000000) (1/1)
Topology: 20 hidden units; Training interval: last 1000 price points before LBC; Train: train 5000 steps)
LBC : 28.12.2004 TU
Training Interval: 16.02.2001 FR - 28.12.2004 TU
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.6527
Linear Model: Correlation (10 bars after LBC) = 0.8439
NN Model: Correlation (20 bars after LBC) = -0.1875
Linear Model: Correlation (20 bars after LBC) = 0.7144
NN Model: Correlation (30 bars after LBC) = -0.2309
Linear Model: Correlation (30 bars after LBC) = 0.5127
LBC : 19.01.2005 WD
Training Interval: 12.03.2001 MO - 19.01.2005 WD
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.6836
Linear Model: Correlation (10 bars after LBC) = 0.6465
NN Model: Correlation (20 bars after LBC) = -0.2300
Linear Model: Correlation (20 bars after LBC) = -0.4756
NN Model: Correlation (30 bars after LBC) = -0.5361
Linear Model: Correlation (30 bars after LBC) = -0.3402
LBC : 10.02.2005 TH
Training Interval: 03.04.2001 TU - 10.02.2005 TH
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.7773
Linear Model: Correlation (10 bars after LBC) = 0.9365
NN Model: Correlation (20 bars after LBC) = 0.3589
Linear Model: Correlation (20 bars after LBC) = 0.3701
NN Model: Correlation (30 bars after LBC) = 0.2024
Linear Model: Correlation (30 bars after LBC) = 0.1574
LBC : 04.03.2005 FR
Training Interval: 26.04.2001 TH - 04.03.2005 FR
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.0780
Linear Model: Correlation (10 bars after LBC) = 0.4518
NN Model: Correlation (20 bars after LBC) = 0.7491
Linear Model: Correlation (20 bars after LBC) = 0.3385
NN Model: Correlation (30 bars after LBC) = 0.7655
Linear Model: Correlation (30 bars after LBC) = 0.5664
LBC : 28.03.2005 MO
Training Interval: 18.05.2001 FR - 28.03.2005 MO
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.4185
Linear Model: Correlation (10 bars after LBC) = 0.5374
NN Model: Correlation (20 bars after LBC) = 0.1873
Linear Model: Correlation (20 bars after LBC) = 0.5339
NN Model: Correlation (30 bars after LBC) = 0.1607
Linear Model: Correlation (30 bars after LBC) = 0.4324
LBC : 19.04.2005 TU
Training Interval: 12.06.2001 TU - 19.04.2005 TU
Model Performance:
NN Model: Correlation (10 bars after LBC) = -0.7875
Linear Model: Correlation (10 bars after LBC) = -0.8076
NN Model: Correlation (20 bars after LBC) = -0.1996
Linear Model: Correlation (20 bars after LBC) = -0.4744
NN Model: Correlation (30 bars after LBC) = 0.0852
Linear Model: Correlation (30 bars after LBC) = -0.0482
LBC : 11.05.2005 WD
Training Interval: 05.07.2001 TH - 11.05.2005 WD
Model Performance:
NN Model: Correlation (10 bars after LBC) = -0.3907
Linear Model: Correlation (10 bars after LBC) = -0.2846
NN Model: Correlation (20 bars after LBC) = -0.0375
Linear Model: Correlation (20 bars after LBC) = 0.1860
NN Model: Correlation (30 bars after LBC) = 0.3953
Linear Model: Correlation (30 bars after LBC) = 0.3153
LBC : 02.06.2005 TH
Training Interval: 27.07.2001 FR - 02.06.2005 TH
Model Performance:
NN Model: Correlation (10 bars after LBC) = 0.1658
Linear Model: Correlation (10 bars after LBC) = 0.0475
NN Model: Correlation (20 bars after LBC) = 0.3890
Linear Model: Correlation (20 bars after LBC) = 0.3215
NN Model: Correlation (30 bars after LBC) = 0.3927
Linear Model: Correlation (30 bars after LBC) = 0.4977
LBC : 24.06.2005 FR
Training Interval: 20.08.2001 MO - 24.06.2005 FR
Model Performance:
NN Model: Correlation (10 bars after LBC) = -0.2405
Linear Model: Correlation (10 bars after LBC) = -0.3455
NN Model: Correlation (20 bars after LBC) = 0.3741
Linear Model: Correlation (20 bars after LBC) = 0.3082
NN Model: Correlation (30 bars after LBC) = -0.1554
Linear Model: Correlation (30 bars after LBC) = -0.2106
LBC : 18.07.2005 MO
Training Interval: 12.09.2001 WD - 18.07.2005 MO
Model Performance:
NN Model: Correlation (10 bars after LBC) = -0.2002
Linear Model: Correlation (10 bars after LBC) = 0.2240
NN Model: Correlation (20 bars after LBC) = -0.7880
Linear Model: Correlation (20 bars after LBC) = 0.3734
NN Model: Correlation (30 bars after LBC) = -0.3356
Linear Model: Correlation (30 bars after LBC) = 0.2695