Macroeconomic Artificial Neural Networks

2019년 12월 10일

This script was created by training 20 selected macroeconomic data to construct artificial neural networks on the S&P 500 index.
No technical analysis data were used.
The average error rate is 0.01.
In this respect, there is a strong relationship between the index and macroeconomic data.
Although it affects the whole world,I personally recommend using it under the following conditions: S&P 500 and related ETFs in 1W time-frame (TF = 1W SPX500USD, SP1!, SPY, SPX etc. )


Macroeconomic Parameters

Effective Federal Funds Rate (FEDFUNDS)
Initial Claims (ICSA)
Civilian Unemployment Rate (UNRATE)
10 Year Treasury Constant Maturity Rate (DGS10)
Gross Domestic Product , 1 Decimal (GDP)
Trade Weighted US Dollar Index : Major Currencies (DTWEXM)
Consumer Price Index For All Urban Consumers (CPIAUCSL)
M1 Money Stock (M1)
M2 Money Stock (M2)
2 - Year Treasury Constant Maturity Rate (DGS2)
30 Year Treasury Constant Maturity Rate (DGS30)
Industrial Production Index (INDPRO)
5-Year Treasury Constant Maturity Rate (FRED : DGS5)
Light Weight Vehicle Sales: Autos and Light Trucks (ALTSALES)
Civilian Employment Population Ratio (EMRATIO)
Capacity Utilization (TOTAL INDUSTRY) (TCU)
Average (Mean) Duration Of Unemployment (UEMPMEAN)
Manufacturing Employment Index (MAN_EMPL)
Manufacturers' New Orders (NEWORDER)
ISM Manufacturing Index (MAN : PMI)

Artificial Neural Network (ANN) Training Details :

Learning cycles: 16231
AutoSave cycles: 100

Grid

Input columns: 19
Output columns: 1
Excluded columns: 0

Training example rows: 998
Validating example rows: 0
Querying example rows: 0
Excluded example rows: 0
Duplicated example rows: 0

Network

Input nodes connected: 19

Hidden layer 1 nodes: 2
Hidden layer 2 nodes: 0
Hidden layer 3 nodes: 0

Output nodes: 1

Controls

Learning rate: 0.1000
Momentum: 0.8000 (Optimized)
Target error: 0.0100

Training error: 0.010000


NOTE : Alerts added . The red histogram represents the bear market and the green histogram represents the bull market.
Bars subject to region changes are shown as background colors. (Teal = Bull , Maroon = Bear Market )

I hope it will be useful in your studies and analysis, regards.