This script was created by training 20 selected macroeconomic data to construct artificial neural networks on the S&P 500 index. No technical analysis data were used. The average error rate is 0.01. In this respect, there is a strong relationship between the index and macroeconomic data. Although it affects the whole world,I personally recommend using it under the following conditions: S&P 500 and related ETFs in 1W time-frame (TF = 1W SPX500USD, SP1!, SPY, SPX etc. )
Macroeconomic Parameters
Effective Federal Funds Rate (FEDFUNDS) Initial Claims (ICSA) Civilian Unemployment Rate (UNRATE) 10 Year Treasury Constant Maturity Rate (DGS10) Gross Domestic Product , 1 Decimal (GDP) Trade Weighted US Dollar Index : Major Currencies (DTWEXM) Consumer Price Index For All Urban Consumers (CPIAUCSL) M1 Money Stock (M1) M2 Money Stock (M2) 2 - Year Treasury Constant Maturity Rate (DGS2) 30 Year Treasury Constant Maturity Rate (DGS30) Industrial Production Index (INDPRO) 5-Year Treasury Constant Maturity Rate (FRED : DGS5) Light Weight Vehicle Sales: Autos and Light Trucks (ALTSALES) Civilian Employment Population Ratio (EMRATIO) Capacity Utilization (TOTAL INDUSTRY) (TCU) Average (Mean) Duration Of Unemployment (UEMPMEAN) Manufacturing Employment Index (MAN_EMPL) Manufacturers' New Orders (NEWORDER) ISM Manufacturing Index (MAN : PMI)
Artificial Neural Network (ANN) Training Details :
NOTE : Alerts added . The red histogram represents the bear market and the green histogram represents the bull market. Bars subject to region changes are shown as background colors. (Teal = Bull , Maroon = Bear Market )
I hope it will be useful in your studies and analysis, regards.
Hello, thanks for sharing! I want to choose an ANN indicator for Hang Seng Index Futures, do you think this one, or other SPX indicators can apply? And did you try other activation functions?
MOMINCKS
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@MOMINCKS, BTW a great leading indicator, especially with high tf like 1M!
@Noldo, Hi, not working for me ,shows red exclamation saying "Study Error". Thanks.
Noldo
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@MOMINCKS,
It may benefit Hang Seng, but indirectly.
While S&P is rising, all exchanges are major.
But it will fail in country-based problems.
Or vice-versa.
I have previously tried to train Hang Seng with the ANN method, but I have removed the error rate is too high.
In my spare time, I will try again with other methods.
MOMINCKS
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@Noldo, That will be great! I am looking forward to it!
jdalber
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Thank you. It is great contribution. I am trying to understand the logic.
1. you calculate the second derivative of each indicator, right?
2. what function does the "ActivationFunctionTanh"?
3. and how do you get the coeficientes for n_19 and n_20?
Albert Ac
Noldo
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@jdalber, First of all thanks for your interest. You can find more information on my first Artificial Neural Network script :