A B-P ANN Commodity Trader

Joseph E. Collard Martingale Research Corporation 100 Allentown Pkwy., Suite 211 Allen, Texas 75002 Abstract An Artificial Neural Network (ANN) is trained to recognize a buy/sell (long/short) pattern for a particular commodity future contract. The Back Propagation of errors algorithm was used to encode the relationship between the Long/Short desired output and 18 fundamental variables plus 6 (or 18) technical variables into the ANN. Trained on one year of past data the ANN is able to predict long/short market positions for 9 months in the future that would have made $10,301 profit on an investment of less than $1000. 1 INTRODUCTION An Artificial Neural Network (ANN) is trained to recognize a long/short pattern for a particular commodity future contract. The Back-Propagation of errors algorithm was used to encode the relationship between the Long/Short desired output and 18 fundamental variables plus 6 (or 18) technical variables into the ANN. 2 NETWORK ARCHITECTURE The ANNs used were simple, feed forward, single hidden layer networks with no input units, N hidden units and one output unit. N varied from six (6) through sixteen (16) hidden units.