Machine learning in trading: theory, models, practice and algo-trading - page 2758
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What is the uncommitted stuttering window? Different number of features/columns in each row? But you should always feed the same number of columns into the model.
1. The outlier resampling is not removed. There are programmes, but we can do it the kolkhoz way: we change everything greater than +/- 0.005 of the corresponding quantile to this value. The statistics change surprisingly.
2. Extremely interesting, especially on entropy. Would love to see the result. Correlation is for stationary series, you can forget it.
What is the uncommitted window? Different number of features/columns in each row? But you should always feed the same number of columns into the model.
And the above was written somewhere recently, if the mods haven't cleaned it up
Search on " unfixed window" gives only this page
Resampling through anything with gaussians inside it - removes it
Curious, but very clever.
A search on " non-fixed window" gives only this page
Curious, but very complicated.
Resampling is done to remove outliers, Gaussianise the sample
Completely unclear.
I know exactly that I need different window on different parts of the time series. But the problem is an old one: if you pick a window on some segment, then it is not necessarily the same window on the next segment, some variant of non-stationarity of window width.
It's not clear at all.
I know for sure that it is necessary to have a different window on different parts of the time series. But the problem is an old one: if you pick up a window on some section, then not necessarily this window will be on the next section, some variant of non-stationarity of window width.
There was a thought somewhere about fractals and other things, that the last price does not always have the best predictive power. That is, sometimes it is necessary to stop the window by conditions or through another ns to fix it so that the previous bars participate in the prediction, not the last ones. And so it has to run back and forth through history.
It's more of a non time fixed window. And as we feed 10 columns, so we will be 10.
I tried feeding a dozen ZZ columns (got 50%50 as usual). The time of their formation is always different and the last knee was formed from 1 to several bars ago. You could say it's a conversion of regular bars to their own. In my case the zigzag knee was forming a bar. A year ago Prado was recalled here, he suggested to rebuild bars not by time, but by traded volume for example by 100 lots.
Examples of raw prices, time, "volume" and "dollar" candles