Incorporating seasonality into Heidi. A concept of a better forecasting component for an intraday trading system. - Intraday Season 5 Optimization: 8-10am ET, 14-16 CET

User Rating: / 3
PoorBest 
Written by Forex Automaton   
Monday, 07 March 2011 17:21
Article Index
Incorporating seasonality into Heidi. A concept of a better forecasting component for an intraday trading system.
Intraday Season 0 Optimization: 5-7pm ET, 23-1 CET
Intraday Season 1 Optimization: 8-10pm ET, 2-4 CET
Intraday Season 2 Optimization: 11pm-1am ET, 5-7 CET
Intraday Season 3 Optimization: 2-4am ET, 8-10 CET
Intraday Season 4 Optimization: 5-7am ET, 11-13 CET
Intraday Season 5 Optimization: 8-10am ET, 14-16 CET
Intraday Season 6 Optimization: 11am-1pm ET, 17-19 CET
Intraday Season 7 Optimization: 2-4pm ET, 20-22 CET
All Pages

For Season 5, we see another change of the predominant pattern in the evolution of the Pearson correlation coefficient for hourly close with Fred. USD/JPY shows a rising trend with Fred, entering the positive correlation zone. For the rest of currency pairs, the behaviour is mixed, but the area of Fred below 10 offers the most negative correlation values. The solution therefore is to pick Fred below 10 and reverse the sign of the forecast.

For the high, low and the cumulant Fred=33 will work.

Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly HIGH on the optimization parameter Fred. Season 5. 5.1 Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly LOW on the optimization parameter Fred. Season 5. 5.2 Dependence of Pearson correlation coefficient between predicted and actual logarithmic differences in hourly LOW on the optimization parameter Fred. Season 5. 5.3

Fig. 5.1-5.3 Dependence of Pearson correlation coefficients between predicted and actual logarithmic differences (returns) in the three components of the hour candle (high, low and close, in that order) the optimization parameter nicknamed Fred. 5.1: hourly high, 5.2: hourly low, 5.3: hourly close. Data are for the Intraday Season 5.

Dependence of normalized 4-point cumulant among predicted and actual logarithmic differences in hourly HIGH and hourly LOW on the optimization parameter Fred. Season 5. 5.4

Fig. 5.4 Dependence of the normalized 4th order cumulant among predicted and actual logarithmic differences (returns) in hourly high and low on the optimization parameter nicknamed Fred. Data are for the Intraday Season 5.



Last Updated ( Saturday, 07 July 2012 10:44 )