Excessive iterations can produce weights that are poorer, not better, in making predictions. Sample Results Figure 2 shows the model performance for a period of 290 days, presenting the gain over the market in basis points achieved by the model for a single contract. In this example, new network weights are computed each day and a prediction is made for the next day. The prediction is for the actual change in market price, not just direction of market change. Model profit over 290 consecutive trading days.
Profit is gain over market in basis point.
This model is particularly effective in predicting days which have large changes. Such plots can identify areas where the neural model is especially strong or lacking. Pattern of right and wrong calls of market direction for days with 50 largest changes in closing price. Monotonic curve shows absolute value of change ranked from 50th to 1st. Breakdown of profit by crossclassification using actual and predicted price changes.