Machine learning in trading: theory, models, practice and algo-trading - page 144
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I was thinking about alternative ways of price feed into the network, I noticed that almost all successful traders trade levels, those take into account not only the series of recent price values, but also that piece of the chart which was in the past at the same prices
If you think about realization of such an approach a lot of problems appear, I wonder who did something like that?
I've put this approach on hold for now, but I think it's promising...
I've shifted my attention to more simple things, I thought, I can try to consider past prices in some other way, even if not completely, and it's possible to compress price information, I mean the price profile (or volume profile), you can really think about several hundreds of bars compressed into one histogram, so we consider many past prices and compress them at the same time... I'm a beginner programmer and I can't realize profile yet, that's why I took a simple way, just took distribution and built it by price segment, what's not a market profile? ;)
There is a kind of hope that the network will understand better this distribution (profile) than the raw price, because this profile takes into account all pro-trading events that happened by calculating the number of chart hits at one price, and pro-trading is theoretically level ... It should be checked ... It's done :) Thanks toD.trader for his help in analyzing the distribution
I took a slice of 200 price values in the sliding window, scaled it, centered it, then distributed it and fed to the RF
outputs
H$breaks
H$counts
and the last 5 values from the cutting from which I made the allocation, so the algorithm could take the last value from H$breaks and H$counts, since all prices have already been prorated
5 min chart, target as always, reversals
The result is not so good... sometimes the net doesn't know what to do
Sometimes the inputs are great, the quality of the inputs is super
and what is interesting, there is no hard sell on the new data
i did not adjust anything, i simply trained the model and i saw the result
If you're interested you may try to do some training with your targets, maybe you'll get something useful together...
Thanks for the tip ;)
This approach has a lot of problems that are either unsolvable or solvable but do not give good learning.
Well, I kind of just replaced the market profile with a distribution, those normal distribution and its properties are not taken into account here, or I don't understand the comment? :)
I do not understand.
960, 970, ... -- If I had marked the prices as -2 to 2 it would not be so clear.
960, 970, ... -- If in the example on the picture I would put the prices in the form from -2 to 2 it would not be very clear for understanding
Well then ok. But if there is no reference to the last price, it is not clear to the machine where your average is. If all prices are subtracted from the last price, then the average will be zero and the position of this average is fixed relative to the price.
Highlighted in bold blue in my post
There is a binding:)
Highlighted in bold blue in my post
Very good. It's an interesting idea in general!
How can this be solved? do I feed not one slice of the distribution, but a series of several slices at once?
I am afraid that there will be no retraining because of the large amount of information, my RF model is the one on the picture with the parameters ntree = 20 , mtry = 5.
If I set ntree =100 then the model does not make any transaction with the new data, it is so overtrained
=============================================
I have to find out how to solve the problem of the network seeing charts which were in the past at the same prices.
THIS is what the network sees now
the blue area is what is visible to the net, the blue bars represent the price distribution in this area, and although the net sees many, 200 candlesticks, it doesn't see the main thing , those charts that were earlier at the same prices
And it seems to me that this is the key information
And the network knows nothing about it
We still need to figure out how to solve the problem of the network seeing charts that were in the past at the same prices