Rand'ometer
The Rand'ometer is an example of a neural network based end of day trading model or short term directional forecast model.
Current 2010-08-06
- ZAR direction
- ZAR Bearish
- Will buy USD today
- Sold USD on 2010-08-04 at 7.2434
- Unrealised profit of 0.0094 at present
- Historical profits
- 2010-08 -0.0477
- 2010-07 -0.1617
- 2010-06 +0.0059
- 2010-05 +0.3771
- 2010-04 -0.1341
- 2010-03 +0.0114
- 2010-02 -0.1803
- 2010-01 +0.2274
- 2009-12 +0.3343
- 2009-11 -0.4002
Use
The Rand'ometer is based on an end of day model and is updated daily in the mornings. The numerical output of the model is converted into a directional reading of either ZAR neutral, ZAR bullish or ZAR bearish.
When the reading changes from e.g. neutral to bullish, ZAR will be bought and USD will be sold that day at the typical price, which is the average of the day's high, low and closing values. The ZAR/USD cross is used and a fee of 0.0050 is levied on all transactions. This typical price is also used to mark an open position to market, so that the unrealised loss the day after entry, which includes the fees for both the entry and the exit, will be 0.0100. Note that in practice one would be able to outperform the model due to these heavy penalties.
The Rand'ometer displays the current position, the price at which it was opened if available and the unrealised profits based on the most recent typical price, taking costs into account. The realised profits of the previous couple of months, all out of sample, are shown as well. Note that any unrealised profits are included in the current month's figure.
The Rand'ometer may jump around occasionally due to revisions to data. This happens rarely but note that the revised signal is used in this illustration.
Disclaimer
Note that the Rand'ometer does not constitute advise nor will Ferra accept any responsibility for decisions taken based on it. It is given as a forecast example and should be treated as such.