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Discussion of article "Forecasting market movements using the Bayesian classification and indicators based on Singular Spectrum Analysis"

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MetaQuotes Software Corp.
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MetaQuotes Software Corp.  

New article Forecasting market movements using the Bayesian classification and indicators based on Singular Spectrum Analysis has been published:

The article considers the ideology and methodology of building a recommendatory system for time-efficient trading by combining the capabilities of forecasting with the singular spectrum analysis (SSA) and important machine learning method on the basis of Bayes' Theorem.

Since the price predictions presented in the Figure 1 contain a set of errors in direction, let us find out how a combination of the indicators allows reducing the number of such errors. The difference in the values of the actual and predicted price in Figure 1 is irrelevant, because it does not cause losses when in a concordant position. 

There are values: (MACD-Signal), difference derivatives for series of the actual and predicted price and stochastic, smoothed by three points. The consistency of the conditions defined earlier, which indicate the direction of the price change, is further used to analyze the efficiency of their combination. 


Figure 5. Concurrency of the actual and predicted directions of the changes in price when using three indicators

Author: Roman Korotchenko

Anacon
122
Anacon  

Very interesting article and the results definitly warrant further investigation; however, the attached EA has a problem with the library so it is unable to be loaded. Are you sure you have the correct library included in the zip file?

Enrique Dangeroux
194
Enrique Dangeroux  

SSABayesLib.ex5 also does not load for me.

The article is interesting. So are the comments in the Russian section https://www.mql5.com/ru/forum/190847

Обсуждение статьи "Прогнозирование рыночных движений с помощью байес-классификации и индикаторов на основе сингулярного спектрального анализа"
Обсуждение статьи "Прогнозирование рыночных движений с помощью байес-классификации и индикаторов на основе сингулярного спектрального анализа"
  • 2017.04.25
  • www.mql5.com
Опубликована статья Прогнозирование рыночных движений с помощью байес-классификации и индикаторов на основе сингулярного спектрального анализа: Авт...
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