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DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks. (arXiv:2210.11532v1 [q-fin.TR])
Oct. 24, 2022, 1:11 a.m. | Ivan Letteri, Giuseppe Della Penna, Giovanni De Gasperis, Abeer Dyoub
cs.LG updates on arXiv.org arxiv.org
In general, traders test their trading strategies by applying them on the
historical market data (backtesting), and then apply to the future trades the
strategy that achieved the maximum profit on such past data.
In this paper, we propose a new trading strategy, called DNN-forwardtesting,
that determines the strategy to apply by testing it on the possible future
predicted by a deep neural network that has been designed to perform stock
price forecasts and trained with the market historical data. …
analysis arxiv dnn networks neural networks statistical strategy timeseries trading validation
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