MARS Anyone?

[darckeen]

Was 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

[whself beginner]

Was 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

here is a java implementation very similar to c# ...

best regards
wh

http://www.amisworks.com/MARSplines.java

[darckeen]

Now to find a java -> C# converter. Thanks alot

[sefstrat]

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.

[darckeen]

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.

[NinjaTrader_Bertrand]

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_Analysis

[darckeen]

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.

[NinjaTrader_Bertrand]

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...

[whself beginner]

http://en.wikipedia.org/wiki/Weka_(machine_learning)

[zeller4]

Regression Channel for bars past

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...

Bertrand or whomever will answer,

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

[NinjaTrader_JoshP]

Not sure what you mean "walk the channel backwards". You can try using the displacement property when you add the indicator onto the chart to push it back?

[zeller4]

no I mean unlock it from the current bar... so it can show up on past bars as I scroll left on the chart to look at the previously completed bars.

thanks,
kz

[NinjaTrader_Bertrand]

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=1