How To Use Facebook's Prophet Forecasting Algorithm in Trading?

23 July 2017, 13:00
Ahmad Hassam

Facebook released its Prophet Forecasting Algorithm to the public in March of this year.

Facebook Prophet Algorithm is a robust algorithm that is being internally used by Facebook team.

This algorithm is available to the public as an API in both R as well as Python.

In this blog post I explain in detail how we can use Facebook's Prophet Algorithm in forex trading.

I have used R language. Using Python is also easy. In Python you will have to first install stan as well as cython packages.

It took me around 3 days to get the R code right. Algorithm was not making the prediction.

The problem arose due to the fact that the generic predict R command was considering prophet model as a character and not an object.

But now I have corrected the code and it takes less than a second for the Prophet algorithm to make the prediction.

We can also decompose the predictions into trend and seasonality components.

Read the blog post in which I explain everything.

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