Order Size Interval
- 指标
- Roberto Spadim
- 版本: 1.3
- 更新: 16 四月 2019
- 激活: 5
A useful feature may be to determine the normal frequency of round-sized trades, and monitor deviations from that expected value. The ML algorithm could, for example, determine if a larger-than-usual proportion of round-sized trades is associated with trends, as human traders tend to bet with a fundamental view, belief, or conviction. Conversely, a lower-than-usual proportion of round-sized trades may increase the likelihood that prices will move sideways, as silicon traders do not typically hold long-term views.
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This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 293.