The Forecasting Systems Letter
Jeffrey Mishlove

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Following up on yesterday's story regarding VectorVest data, I created a simple neural network system in BioComp Profit attempting to forecast price changes in Johnson and Johnson (JNJ).  I was actually somewhat surprised to discover that the results were rather modested.  Upon exploring the data further with the VectorVest technical support staff, I learned that the "demo" data I had received was of a mixed nature.  Daily data only went back for six months.  Prior to that point, the data had been updated only weekly.  

Understandably, that would be a problem for a neural network, since in this instance the training period was with the weekly data, while the out of sample period was with daily data.  Given the sensitivity and fragility of neural network systems, it is understandable that the results were not more robust.

Is this a correctable problem?  Yes and no.  For a small extra fee, VectorVest more extensive, time-series data.  Daily data will go back two years, and weekly data will go back for six years.  Ideally, I would prefer to be able to receive daily data back for four or more years.  But, considering the nature of fundamental data, weekly updates will probably work well in systems that are designed to trade less frequently -- perhaps once a month or so.

Another disappointment for me is that VectorVest does not make their "MTI" the timing indicator for the overall market available in an historical, time-series format.

Wayne Harrison, founder and developer of the KWIK*POP system, has written to me suggesting some modifications in the method I am using to determine a daily trading signal on the S&P500 index.  I will be refining my procedures -- based on his suggestions.  Among other things, he has proposed working with the SPY tracking stock -- rather than the futures contract.

BioComp Profit Neural Network S&P 500 Futures Contract "MegaSystem" Forecast:
Friday's Close:  Down from Thursday's close
Monday's Close: Down from Friday's close

Nirvana OmniTrader Composite Technical Forecast for the S&P 500 Futures Contract:
Short-term, aggresssive strategy: Down.

NeuroShell Volatility Breakout System, Daily, for S&P Futures Contract: 
Buy Stop Order for Wednesday at 894.90, filled.
Sell limit on Thursday at 895.50, filled

KWIK*POP Daily Trading Signal (As Confirmed by Hourly Chart)
Out of the market

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