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Neural Network strategy backtest comparison - deandree - 11-12-2018

Hi, all!

For the past few months, I've been running backtest experiments where I compare publicly available strategies against each other. I have been documenting results in my Medium series - https://medium.com/@deandree. I just thought I share this here, because I believe my results and information could be useful to Gekko community. Also I hope to hear insights and comments from you.

In my latest article, I decided to go for the big fish and gathered 15 Neural Network strategies and backtested them against TOP20 Coins on September datarange:
    -    neuralnet_SirTificate
    -    neuralnet_zschro
    -    zuki_nn
    -    mounirs-ga-version-1
    -    mounirs-ga-version-2
    -    mounirs_esto
    -    n8
    -    n8_v2
    -    n8_v2_BB_RSI_SL
    -    NNv2
    -    NN_ADX_RSI
    -    neataptic
    -    LSTM_MACD_RSI_V3
    -    Luke_NN
    -    ManuNet

In my next article, I have planned to dig deeper and show you the price prediction line of each strategy, so we can get a better understanding of what's really going on behind the scenes. 

For example, here is prediction line for n8_v2 strategy for IOT coin in September month:
[Image: n8-v2-IOT.png]

Let me know if this is useful to you and/or if any suggestions! Thanks!

RE: Neural Network strategy backtest comparison - ankasem - 11-13-2018

thank you   

Very nice and detailed review thanks

https://medium.com/@deandree/can-neural-networks-beat-the-crypto-market-of-september-part-4-66547b5fe415


do you consider the time factor

the minute you start the strategy is very important


(00) maybe lost in minutes

(01) maybe you can profit in minutes

RE: Neural Network strategy backtest comparison - deandree - 11-13-2018

Yes, starting time is very important. I've seen quite huge (x2/x3) difference on 10m candles, on 120/240/etc it could be much higher.

Due to already long time it takes to run my tests for each Medium part, I have not included multiple starting time in my tests. If I wanted to do that, I could try a few offsets (like for 240m candles take 0h 1h 2h 3h offset) and calculate average. If people want to see that, I can make special article about that.

RE: Neural Network strategy backtest comparison - deandree - 12-04-2018

Hey, all!

For those of you who enjoyed Part 4 about NNs, I have released 2 new parts in last week:

Part 5 - extension to part 4, where I backtest NN strats against October, August and July. I also compare how to market itself was doing, so we can keep the results in context. For example, here are results for July 240m:

[Image: 240m-Candles.png]



Part 6 - I get started on prediction analysis by trying to predict single event - huge price drop that started from November 14th. I draw the prediction lines on chart, so we can compare the accuracy, for example, here is neataptic strategy predictions with 5m candles and 900 history:

[Image: neataptic.png]

Let me know if this works for you and if any suggestions for future topics. Thanks!

RE: Neural Network strategy backtest comparison - askmike - 12-04-2018

This is very cool stuff!

Quote:For example, here is prediction line for n8_v2 strategy for IOT coin in September month:

For me that image in your OP isn't loading.

I will be watching this thread and can hopefully contribute some day as well Smile

RE: Neural Network strategy backtest comparison - deandree - 12-04-2018

@askmike thanks, I fixed the image in first post.

RE: Neural Network strategy backtest comparison - deandree - 01-11-2019

I've published Part 7 - Crypto Trading 2018 in Review: 17 Advanced + 15 Neural Net strategies tested

This time, instead of single month, I go full year. Backtesting 32 strats in total. Also I take a review of market overall in 2018, highs and lows.

For example, here is chart that shows each coin profits/losses in % (market value) throughout the year, month by month. Bars represent percent change from months first date to last.
[Image: Month-By-Month-Bars.png]

And here is Advanced strats in 120m candles.
[Image: 120m-Candles-1.png]

RE: Neural Network strategy backtest comparison - ankasem - 01-11-2019

deandree

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RE: Neural Network strategy backtest comparison - mark.sch - 01-11-2019

(01-11-2019, 06:19 PM)ankasem Wrote: deandree

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https://medium.com/@deandree/crypto-trading-2018-in-review-17-advanced-15-neural-net-strategies-tested-part-7-d308963d13e9

RE: Neural Network strategy backtest comparison - deandree - 01-11-2019

Sorry, I broke the link accidentally (it changed), thanks for letting me know.

This is the real one: https://medium.com/coinmonks/crypto-trading-2018-in-review-17-advanced-15-neural-net-strategies-tested-part-7-d308963d13e9

EDIT: looks like there was some temporary mixup or redirect issue on Medium side while moving post to publication. All the links mentioned above should work now.