Machine learning in trading: theory, models, practice and algo-trading - page 849

 
elibrarius:
So no one knows how to determine the importance of predictors in regression? (other than correlation)

reciprocal infa (kind of correlation too)

here's more:

https://habrahabr.ru/post/264915/

in other words, we can limit ourselves to a random forest, no?

Files:
 
Mihail Marchukajtes:

So, Mish, I'm planning to rent it out, at least I think I'll earn something.

 
Maxim Dmitrievsky:

reciprocal infa (also kind of correlation)

Here's more:

https://habrahabr.ru/post/264915/

In other words, we can limit ourselves to a random forest, no?

Probably the most reliable is to cycle through combinations of predictors. But this is very long(

 
elibrarius:

Probably the most reliable way is to loop through combinations of predictors. But it's very long(

It's long and inefficient... but it's possible to think up a logic when quantitative analysis overflows into quality... that's what fxsaber does according to its own unknown patterns :)

If you have a desire - you can refine Alexander's predicor through cast. symbols. (I still can't get to him to try it, because I'm mesmerized by RL)) maybe next week
 
Maxim Dmitrievsky:

It's long and inefficient... but I can think of a logic, when quantitative analysis becomes quality... so fxsaber does it with his own unknown patterns :)

If you have a desire - you can refine Alexander's predicor through cast. characters. (I still can't get to him to try it, because I'm mesmerized by RL)) maybe next week

In a week I will try to form and place on the forum thinned series by Erlang's flows of order 30 K=30 (analog of M1), K=150 (analog of M5), K=450 (M15) for different currency pairs. Those who are interested - try it and see if there are any significant improvements (and there should be some). Patience, my friends! Now I am busy - the Germans are terrorizing my main work. I knew they're meticulous, but not to this extent...

 
Alexander_K2:

In a week I will try to form and place on the forum thinned series by Erlang's flows of order 30 K=30 (analog of M1), K=150 (analog of M5), K=450 (M15) for different currency pairs. Those who are interested - try it and see if there are any significant improvements (and there should be some). Patience, my friends! Now I am busy - the Germans are terrorizing my main work. I knew they are meticulous, but not to this extent...

Analog M1 - got it, but at the entrance of what, what row?

 
Alexei Tarabanov:

Analog M1 - got it, but on the input, what row?

Tick by DDE.

 
Alexander_K2:

Tick by DDE.

What the hell are you doing?

 
Alexei Tarabanov:

What the hell are you talking about?

What's the right one? I'm still processing it with an exponent with p=0.5 to get the simplest flow.

 
elibrarius:

Probably the most reliable way is to loop through combinations of predictors. But it's very long(

How many of them are there? There are ways to do it faster... Genetics... Also to drive them into the ns...
Reason: