Machine learning in trading: theory, models, practice and algo-trading - page 1056

 
Maxim Dmitrievsky:

Variant 1: without transformation of traits. Learning from 08.01 Anything before OOS


expected

 
mytarmailS:

expected

let microlouche mclay throw the gmdh portrait - it won't be expected. Now on the randome transforms through cosines I will look at

The levels were taken only 4 pieces to start with:


 
Vizard_:

Don't distract the magicians. Sorcerers will show)))

Black (High-Low)-actual, blue-tren, red-forecast...


Maestro, you're back in time - or I already had a desire to run away from here.

But I'll work some more. I feel sorry for those who suffer, myself included. I'll just take a little time out, read some stuff and drink some alcohol.

 

Here is with the transformations of the signs. Slight decrease in the error on the OOS, as a consequence on the OOS for 10 days in the +, then rolled down again

But my transformer is, to put it mildly, so-so.

2018.09.14 15:47:46.712 2018.09.11 23:59:59   RlExp1iter TRAIN LOGLOSS
2018.09.14 15:47:46.712 2018.09.11 23:59:59   0.22818 0.22082 0.22923 0.23975 0.23344
2018.09.14 15:47:46.712 2018.09.11 23:59:59   RlExp1iter OOB LOGLOSS
2018.09.14 15:47:46.712 2018.09.11 23:59:59   0.45741 0.46372 0.46688 0.46372 0.45636


 
Vizard_:

In RL cv, or the old one?

the old, oob.

did cv - it doesn't learn anything at all then ) and long
 
Vizard_:

Don't distract the magicians. Sorcerers will show)))

Black(High-Low)-actual, blue-trend, red-forecast...


Oh my god, volatility prediction gurus, bow toAlexander_K and others....

What could be more complicated))

Alexander I have to delete my picture to look cool and mysterious? .... it's really a circus

 
Vizard_:

Banderovite?)))

#s3gt_translate_tooltip_mini { display: none !important; }

it starts....)))

 

One thing I can say is that Koldun does not work with the first differences on the ticks.

He cooks, like a cook, his own BP.

Moreover, in his opinion, the expectation of this BP at any time for any sample should be = const, most likely, according to Kolmogorov = 0.

Yes, this is a requirement for stationary VR and he obviously does it somehow.

In the standard case, without tricks, we have the wave packet price "walking" like this:


And so, if someone makes such a BP so that, at least, the expectation is = const (God forbid with variance), he can prepare dustbags. Ugh, you - for dust. I said it all.

 
Alexander_K:

One thing I can say is that Koldun does not work with the first differences on the ticks.

He cooks, like a cook, his own BP.

Moreover, in his opinion, the expectation of this BP at any time for any sample must be = const, most likely, according to Kolmogorov = 0.

Yes, this is a requirement for a stationary VR and he obviously does it somehow.

So what's the result? Where's the result?

 
mytarmailS:

So what is the result? Where is the result?

Aleshenka, for example, says that he cannot show the state under the contract with investors. For some reason I believe it.

Reason: