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MARS Anyone?
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Originally posted by darckeen View PostWas wondering if anyone knows of any implementations of MARS or Multivariate Adaptive Regression Splines or something similar in c#. Heres the wiki http://en.wikipedia.org/wiki/Multiva...ession_splines
best regards
wh
http://www.amisworks.com/MARSplines.javaLast edited by whself beginner; 05-22-2009, 02:35 PM.
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Read the section in wikipedia about the forward and backward pass..
essentially, MARS is useless for trading because it is slow to calculate and it 'repaints' in indicator terms =)
Gaussian process regression or regression using recurrent neural network are currently the best methods for use on financial time series, as far as I know.
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I'm definately not an expert in math or anything but i've been working recently with splines and was looking for something that was more adaptive and came across MARS. Heavy processing time is definately a problem. What do you mean by repainting in indicator terms? Anyways i'll take a look at that those other regression implementations and see what i can comprehend about them.
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I guess what sefstrat is saying is, it's basically constantly refitting in realtime...if anybody is intro 'number crunching', probably SSA is pretty well suited for financial time series - http://en.wikipedia.org/wiki/Singular_Spectrum_AnalysisBertrandNinjaTrader Customer Service
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Cool i'll check that out too. I think i understand what you mean about repainting and i think thats what i'm looking for. Basically i dont care if its optimizing realtime because as far as i know in backtesting i can't look foward at data so any trades generated off such an indicator would be valid so to speak, right? Then again if something takes an hour to process each bar it wont be of much use lol.
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A good example would be the Regression Channel, it fits a best fit channel to the last x bars of user selected data, you might think ok this is a great short at the upper trendline, but as a new bar comes in the channel will then adjust and move to the newly fitted location so your trade location may not be ideal anymore, that's why dealing with standard deviations is tricky...BertrandNinjaTrader Customer Service
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Regression Channel for bars past
Originally posted by NinjaTrader_Bertrand View PostA good example would be the Regression Channel, it fits a best fit channel to the last x bars of user selected data, you might think ok this is a great short at the upper trendline, but as a new bar comes in the channel will then adjust and move to the newly fitted location so your trade location may not be ideal anymore, that's why dealing with standard deviations is tricky...
Since the Built-In Regression Channel Indicator plots to the most current x bars on the chart, is there a manner to "walk the channel backwards" to the displayed chart that is already past? I've tried reloading and that doesn't do the trick.
Thanks in Advance,
Kirk
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This would need a good amount of custom coding Kirk, you can check into this from our sharing for ideas - http://www.ninjatrader-support2.com/...p&id=2&catid=1BertrandNinjaTrader Customer Service
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