Newsgroups: comp.ai.neural-nets
Path: cantaloupe.srv.cs.cmu.edu!rochester!udel!gatech!newsfeed.pitt.edu!toads.pgh.pa.us!investor.pgh.pa.us!rbp
From: rbp@investor.pgh.pa.us (Bob Peirce #305)
Subject: How often should you retrain with financial data?
Message-ID: <1995Feb15.190231.4782@investor.pgh.pa.us>
Date: Wed, 15 Feb 95 19:02:31 GMT
Reply-To: me@venetia.pgh.pa.us (Bob Peirce)
Organization: Cookson, Peirce & Co., Pittsburgh, PA
Lines: 41


I am trying to develop a NN to work with financial data.  A key part of
this is that we are seldom quite sure exactly where we are today, so any
training has to stop at a point where we are sure.  (I tested making
assumptions about where you are and that is not a good idea).  I assume
I always will know where I was twelve months ago.  I train to that
point and use the training to predict the current and subsequent months.

My worst case situation was once per cycle, 12 months after the end of a
bear market.  This works out to about once every 3-5 years.  I use that
model to make projections until the next retraining.  In this case I
train right up to the current month because I can assume I know where I
am.

I have tried training once a year in December, twice a year in June and
December and four times a year in each quarter, using the last training
to project ahead until it is time to do the next.  The Decmber training
would be used as follows (assuming 12/93):

	Frequency/yr	Prediction
	     1		12/94-11/95	TESTED
	     2		12/94-05/95	TESTED
	     4		12/94-02/95	TESTED
	    12		12/94		IN PROCESS
	
Here's the rub.  More frequent training leads to poorer projections!!
Is that normal?

My assumption was training more frequently would add in the new data
faster and lead to better results, but so far, the best results are
coming from my "worst case" model which gets retrained only once per
cycle. 

Any ideas about what is going on here?  Am I doing something wrong?
-- 
Bob Peirce                Pittsburgh, PA                 412-471-5320
rbp@investor.pgh.pa.us [OFFICE]    me@venetia.pgh.pa.us [HOME (NeXT)]

There is only one basic human right, the right to do as you damn well
please. And with it comes the only basic human duty, the duty to take
the consequences. -- P.J. O'Rourke
