USD/CAD Strategy Built in R Using Data Mining and Naive Bayes Algorithm
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USD/CAD Strategy Built in R Using Data Mining and Naive Bayes Algorithm

25 September 2014, 20:01
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Here is a link to a better formatted version: https://inovancetech.com/arlstrat.html

In this post we will explore a particular type of data mining called association rule learning and use it to build a basic strategy for the USD/CAD. Here are the rules we discovered in the end:

Long Rules Short Rules
  • IF The CCI20 is above -290 and below -100 AND

  • The RSI (3) is below 30 AND

  • The DEMA (10) cross is above -40 and below -20

  • THEN Long Signal
  • IF The CCI (20) is above 185 and below 325 AND

  • The RSI (3) is above 50 AND

  • The DEMA (10) cross is above 10 and below 40

  • THEN Short Signal

Click on the link above to get all the details on how we arrived there in R.