Thursday, October 20, 2011

Build an Artificial Neural Network (ANN)

I want to create a artificail neural network to give me trade reccomendations and something to sell with my TradesRunner automated trading program.  The program I am using for a root progam is called Encog.  In order to implement my NN, I need to teach myself C#, Visual Studio and Encog.  I built the first program and it seems to work.  When I get it running, I decide to prove that it works.  So I decide if my NN really works, it should be able to predict a sine wave.  Here is what I got:

So if I look at this picture, here are my takeaways:
  • The prediction does show a sine wave (of sorts).
  • The amplitude to the positive is not what it should be (approximately half).
  • The lower amplitude is only a third and also seems 'blunted'.
  • The prediction trails the actual.
Overall, I am thinking this is a good thing, it is better than nothing and now gives me something to work on going forward.

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