Posted By: Chris   Date: Mon Jul 23, 2007

Title: Network averaging

Message:
  How many networks are you using to compute the forecast and how are their results averaged?

Response:
  The forecast library currently contains 119 networks. Previous versions have contained as many as 400. We update the forecast library a few times a year, removing networks that are not performing well and adding new ones that do.

 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.