Machine learning in trading: theory, models, practice and algo-trading - page 94
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Well??? Anyone managed to unravel my data????
It's a pity you answered early. You could have tortured the training methods.
I don't understand how this "predictability" is calculated and whether it makes any sense if the target is not taken into account
It's not about training methods. The use of lag in predicates will not allow to build a sufficient model. After all, a line is fed to the model for consideration, and if the data from the previous line is used, the model simply will not see it, so the task is obviously unsuccessful.
Mihail Marchukajtes the data spin, but I feel he's got it wrong, you can't dig up a gopher))))
A neural network with memory would probably do the trick. Plus it would have genetics for selecting predictors. Genetics makes sets of predictors and selects neuronka parameters, neuronka is trained. Crossvalidation to check the quality of the model. Somehow it will work. Forex is more complicated, on it the dependence of lags simply will not exist in the test file.
My understanding from the article to this package is that the predictors themselves are predicted, not the target variable.
Well, yes, but damn, it's not right, a quality predictor is the one that explains the target well, not the one that explains itself, I do not understand how you can know the quality of the predictor without comparing it to the target, I do not understand....
what's in the archive?
Well, yes, but damn, it's not right, a quality predictor is the one that explains the target well, not the one that explains itself, I do not understand how you can know the quality of the predictor without comparing it to the target, I do not understand....
what's in the archive?