Download A Neural Network-Based Bottom-Up Approach for Building a

The GDB Cup: Applying “Real World” Financial
Data Mining in an Academic Setting
Gary D. Boetticher
University of Houston - Clear Lake
Houston, Texas, USA
What is the GDB Cup?
Modeled after the KDD Cup
Start with $100,000 +
Financial Data +
Data Mining Techniques =
Make As Much Money as Possible
Motivation
• Availability of Data
• Gain Experience with DM Process
• Synthesize ML + Domain Knowledge
• Pragmatic implications
Availability of Data
• Different Time Series Perspectives
– 1 minute to monthly
• Different Financial Instruments
– Stocks, Futures, Options, Mutual Funds
• Large Sample Size
– 400 - 700 Stocks (Daily, 2.5 Years)
– EMini Future (5 Minute, 2 Years)
• Inexpensive or Free Sources
– www.anfutures.com
– www.ashkon.com
– Screen Scraping (finance.yahoo.com)
DM Process: Data Cleansing
• Low = 0
• Volume = 0
• Missing Data (e.g. no Open)
• Missing Time Periods
Build Models
(Synthesize ML & Domain Knowledge)
Machine Learners
Supervised NN, GP,
SVM, Neuro Fuzzy, SOM,
ILP, etc.
Tech. Analysis
Moving Averages, RSI, MACD,
Stochastics, PNF, etc.
www.equis.com/Education/TAAZ
Validating Models
Statistical Valid.  Financial Valid.
Ignore Market Conditions (Buy & Hold)
Start Date Value  End Date Value
Unrealistic Conditions (e.g. Drawdown)
Standardize portfolio management
Validate with EXCEL models
Results - 1
Fall 2002
12/31/99 - 5/31/02
452 stocks
Amount
$1,036,137
$851,283
$454,649
$342,496
$187,336
$172,635
$165,000
$100,000
Annual ROI =
270%
Spring 2003
12/31/99 - 5/31/02
712 stocks
Amount
$1,405,760.17
$1,074,124.63
$605,763.09
$264,609.14
$207, 142.87
$137,397.37
$135,706.63
$146,908.68
$5,789.71
Annual ROI =
310%
Fall 2003
6/14/02 - 6/12/03
S&P EMini (5 Min.)
Amount
$852,453.20
$783,681.20
$624,417.80
$499,154.00
$239,402.40
$213,199.70
$125,655.00
Annual ROI =
852%
Results - 2
Spring 2004 (Train)
10/12/01 - 12/26/03
S&P EMini (5 Min.)
Spring 2004 (Test)
12/29/03 - 04/16/04
S&P EMini (5 Min.)
Amount
$51,454,740
$35,484,449
$ 3,643,309
$ 1,088,176
$ 1,085,189
$ 976,923
$ 958,883
$ 192,226
Amount
$270,588
$814,621
$ 85,268
$ 75,074
$185,435
$120,244
$ 99,154
$100,00
Annual ROI =
23,300%
Annual ROI =
2,172%
Demo
Conclusions
• Effective way to understand DM Process
– Data Cleansing
– Data Validation
• Very Good Results
– ROI > 250% in all four cases
• Pragmatic implications