Machine learning in trading: theory, models, practice and algo-trading - page 3545

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mytarmailS #:

what exactly are you interested in?

Show the model itself - attach the file.

 
Aleksey Vyazmikin #:

Show the model itself - attach the file.

 extract(ab)
$beta
2 x 4 sparse Matrix of class "dgCMatrix"
           Open         High          Low        Close
x1 9.994896 e-01 9.987486 e-01 9.996457 e-01 9.990420 e-01
x2 1.620634 e-05 1.908272 e-05 1.980781 e-05 2.256222 e-05

$intercept
         Open          High           Low         Close 
 1.749548 e-05  1.228229 e-03 -5.600120 e-04  4.290534 e-04
 
mytarmailS #:

I understand that volatility depends more on the RSI value.

But, it is like a kind of averaging of values for each measurement point for the window, when volatility increases, the divergence will be more significant.

As I understand, without closing price the model does not work (no indicator values at the moment of bar opening), so there will be a lag of one bar?

 
Aleksey Vyazmikin #:

I understand that volatility is more dependent on the RSI value.

how did you determine this?

Aleksey Vyazmikin #:

when volatility increases, the divergence will be more significant.

how did you determine this?

Aleksey Vyazmikin #:

As I understand, without closing price the model does not work (no indicator values at the moment of bar opening), so there will be a lag of one bar?

At the close of the signal, at the opening of a new candle we enter, the lag is 1 second.

 
mytarmailS #:

how did you determine that?

How did you determine that?


By the odds.

 
Aleksey Vyazmikin #:

On the odds.

How did you relate coefficients to volatility?

And how do you know where is the RSI and where is the MASK if the names of the signs are x1 x2 ?

 

Dick ))


 
mytarmailS #:

And how do you relate coeficients to volatility?

And how do you know where is RSI and where is MASK if the names of the signs are x1 x2 ?

The MA changes slowly, the model has no information about the change, the change is not limited, and RSI changes frequently and in a range - it is logical that at the limit values more volatility is usually.

I assumed, am I wrong, that x2 is RSI ?

 
Aleksey Vyazmikin #:

The MA changes slowly, the model has no information about the change, the change is not limited, and RSI changes frequently and in a range - it is logical that at the limit values more volatility is usually.

I assumed, am I wrong, that x2 is the RSI?

Right

 

pen test


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