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MarketTrak Question/Comment Message |
Posted By: Chris Date: Mon Jul 23, 2007 |
Title: Network averaging |
Message: |
Response: We compute an average network output (ANO) from a weighted sum over the individual networks. Until recently, the weights were based on how accurate the networks were over the past year. More accurate networks got a greater weight than those that were less accurate. Now, we use a non-linear solution procedure to find the set of weights that maximizes the return computed by the trading model. This procedure is a bit more complex but it seems to be working well. |