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We Need a new subforum...


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We Need a new subforum...

  #41 (permalink)
south africa
 
 
Posts: 169 since Dec 2018


SMCJB View Post
Would depend what algo you are trying to train but consider instead of using RSI maybe use (Is RSI < 20) as a binary input. While I can't claim to have great results my results did seem to improve when I did things like that.

I am sure that works(especially given the last decades data) because it is basically a large % drop over a short period of time feature.

You could just calculate that directly though as a feature. A rolling 2 week window with a certain threshold -% return as a binary input. No one would call that a technical indicator though. It is just feature engineering from the data.

I already got bored with the astronomy class lol. Just not worth studying over De Prado's book.


Last edited by centaurer; May 15th, 2019 at 07:46 AM.
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  #42 (permalink)
Legendary Market Wizard
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Agreed.

I only used RSI as an example. You can obviously make your features anything you want. (C > 200MA, Inside Day, New 20 Day High etc). I should have made the point that sometimes binary feature like that can be more successful than continuous ones as the continuous can involve so much noise.

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  #43 (permalink)
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rleplae View Post
as soon as possible i will drop a draft version in a PM for your review as agreed
later the work will become public

Has this become public yet? If so, can you point to a link?

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  #44 (permalink)
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srgtroy View Post
Has this become public yet? If so, can you point to a link?

Yes it was published
Please find the work attached

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