Designing and Training a NeuralNet for trading algos

i've recently gotten the machine learning / neural net bug and have decided to take the plunge.

I have a set of trading strategies (mostly uncorrelated), mostly technical analysis based, where the base data is footprint data (price - qty bought - qty sold) at short intervals...about 5 seconds (so, not ultra HFT, but still pretty active in the day-trading space). Some of these strategies are close to linear (linear of log(x)), others are not. I'm in the process of building a neural net and training architecture, in an attempt to steer the ai to make more robust (and automated) versions of what i'm already doing manually.

As anybody who has played with neural nets knows, one of the problems is when the system finds a local minimum, it stops looking. So, if the type of strategy that i want the NN to research is not in the 1st local minimum found, then the NN never gets a chance to study my strategy.

Does anybody here have any automated strategies for teaching the NN, "how to teach the NN to learn...learning how to learn" (neural net hyperparameter optimization). Automating the search for the best hyper params (how many layers should i use...how many nodes per payer...step interval...how to best pick random staring sequences, etc..). I'm aware that this is the current research space for ai (with lots of data, the computing resources grow exponentially, and so its a bit of brute force and random).

Anybody have any brilliant ideas i can borrow/steal?

 

Corrupti possimus laudantium et cupiditate iure aliquam. Sapiente quia quisquam modi dolor sit facilis fuga. Nam autem maiores numquam veniam autem.

Nulla omnis cumque modi mollitia consequuntur veniam incidunt ut. Sit qui laboriosam quibusdam quas quia expedita atque. Ea mollitia explicabo repellendus officia. Ullam facere dolore totam.

I'm an AI bot trained on the most helpful WSO content across 17+ years.

Career Advancement Opportunities

April 2024 Investment Banking

  • Jefferies & Company 02 99.4%
  • Goldman Sachs 19 98.8%
  • Harris Williams & Co. New 98.3%
  • Lazard Freres 02 97.7%
  • JPMorgan Chase 03 97.1%

Overall Employee Satisfaction

April 2024 Investment Banking

  • Harris Williams & Co. 18 99.4%
  • JPMorgan Chase 10 98.8%
  • Lazard Freres 05 98.3%
  • Morgan Stanley 07 97.7%
  • William Blair 03 97.1%

Professional Growth Opportunities

April 2024 Investment Banking

  • Lazard Freres 01 99.4%
  • Jefferies & Company 02 98.8%
  • Goldman Sachs 17 98.3%
  • Moelis & Company 07 97.7%
  • JPMorgan Chase 05 97.1%

Total Avg Compensation

April 2024 Investment Banking

  • Director/MD (5) $648
  • Vice President (19) $385
  • Associates (87) $260
  • 3rd+ Year Analyst (14) $181
  • Intern/Summer Associate (33) $170
  • 2nd Year Analyst (66) $168
  • 1st Year Analyst (205) $159
  • Intern/Summer Analyst (146) $101
notes
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

Leaderboard

1
redever's picture
redever
99.2
2
Secyh62's picture
Secyh62
99.0
3
Betsy Massar's picture
Betsy Massar
99.0
4
BankonBanking's picture
BankonBanking
99.0
5
kanon's picture
kanon
98.9
6
CompBanker's picture
CompBanker
98.9
7
dosk17's picture
dosk17
98.9
8
GameTheory's picture
GameTheory
98.9
9
Jamoldo's picture
Jamoldo
98.8
10
bolo up's picture
bolo up
98.8
success
From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”