Machine learning in trading: theory, models, practice and algo-trading - page 358
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I would like to be more specific. I can give two opposite answers.)
Why two answers?
General rule of thumb:
Can NS predict non-stationary series? If yes, what types of nonstationary series?
A new maximum (probably the minimum) is followed by a new maximum - yes, I also went through this, the graphs are all familiar. I simulate - and there's nothing there - nothing. Maybe you will be lucky.
This is in the case of unstable (antipersistent series).
And in the case of persistent (steady), a new maximum is followed by a new maximum.
The problem is that the MAKA is heavily redrawn at a low period, ie it can not apply. If we take it for n-bars back the signal will be already missed.
The problem is that the MA is heavily overdrawn at a low period, i.e. it cannot be applied. If we take it for n-bars backward the signal will be already missed.
the other day I was playing with MAs (not simple ones, but gold ones)) - 3rd order filters. The 12-MAs have a group delay of 4 minutes. Let's not even talk about the EMA and other standard ones - the lag is off the scale.
In general, it is necessary to get away from the MA to the regression line. But the calculations are very delayed there. If on 1 minute with allowance for ticks, it will be fatal.
Does anyone know the answer to the question: how do NSs treat nonstationary inputs?
The neural network doesn't care - stationary, non-stationary, or no time series at all. It makes no difference. Especially when it comes to classification.
The neural network doesn't care if it's stationary, non-stationary, or not a timeseries at all. It makes no difference. Especially when it comes to classification
it is very desirable that inputs and outputs be limited by the domain of values.
The neural network doesn't care - stationary, non-stationary, or no time series at all. It makes no difference. Especially when it comes to classification.
Then it is a question of retraining in all its glory
I don't even know if I need to do any better, 20,000% in 2.5 months at opening prices on 5 minutes if I'm lucky... you throw in $1k and pre-order a Bentley. If you're unlucky, it's no big loss )
I don't even know if I need to do any better, 20,000% in 2.5 months at opening prices on 5 minutes if I'm lucky... you throw in $1k and pre-order a Bentley. If you're not lucky, no big loss.)