Neural Network strategy backtest comparison
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 - 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!
Thumbs Up 
thank you   

Very nice and detailed review thanks

do you consider the time factor

the minute you start the strategy is very important

maybe lost in minutes

(01) maybe you can profit in minutes
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.
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!
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
@askmike thanks, I fixed the image in first post.
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]

page is not displayed
404 Not Found
(01-11-2019, 06:19 PM)ankasem Wrote: deandree

page is not displayed
404 Not Found
Sorry, I broke the link accidentally (it changed), thanks for letting me know.

This is the real one:

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.

Forum Jump:

Users browsing this thread: