Machine learning in trading: theory, models, practice and algo-trading - page 236
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What is a U-turn? One bar as in ZZ?
Yes, one bar.
How about the way I wrote above?
We take the ZZ and set a parameter in it, for example, 50 pips. Let's build. On the real chart, 50 pip reversals are very rare when the parameter is 50 pips. Before the reversal and after the reversal to the 50 pip boundary, we mark it as the previous reversal...
If we build a PZ with the parameter of 70 pips and set the boundary at 50 pips, there will be even more such marked bars as "reversal" than in the previous case.
PS.
I've been cooperating on this topic. I failed to build a decent model. But this failure cannot be considered proof that the idea itself is wrong - just a specific case.
Trained RF on cumulative random,
This random looks like this :
anyone distinguish from the price ???
target reversals
a reversal downwards is a point which is more than 10 previous points and more than 20 subsequent points
Let's check the model trained on the randoms on real quotes
One and the same model has been trained several times (trials) and tested in trading.
RTS instrument
i took median price as a price (high+low)/2
stop and take was the same - 50 ticks
the commission is taken into account, so actually the stop is even less than the stop
Stops and tees are fixed, nothing moved, just a stupid pattern, stupid TS
trial one
trial two
trial three
trial four.
and then it goes on like this....
training codemytarmailS:
Yes, one bar.
========================================
1-2 bars before the top of the ZZ and 1-2 bars after. We need to use other models.
Deep NN training consists of two steps, you know.
1.Pre-training without a teacher on as large a set of unlabeled data as possible (I take 5-6 thousand bars) and
2. Tweaking on a smaller sample only near the tops of (1-2)bars.
The result is better than when you race the whole sample.
Good luck
Trained RF on cumulative random,
looks like this :
anyone distinguish from the price ???
target reversals
A downwards reversal is a point which is greater than 10 previous points and greater than 20 subsequent points
Let's check the model trained on the randoms on real quotes
One and the same model has been trained several times (trials) and tested in trading.
RTS instrument
i took median price as a price (high+low)/2
stop and take was the same - 50 ticks
the commission is taken into account, so actually the stop is even less than the stop
Stops and tees are fixed, nothing moved, just a stupid pattern, stupid TS
trial one
trial twoc
trial three
assay 4
and more like this....
training codeSo, what's not on the real quotes?
now how exactly the same model(those with the same parameters) recognized real quotes and also trained on real quotes, not on random
1
2
3
4
Let me explain one more time
In the first case the model was trained on the random and tested on real quotes, the pictures show trading on real quotes
In the second case the model was tested and trained using real data
All you know, why did not ask is not clear. Just at what they ask and train, and no alchemy. Metric, of course to the amateur, I usually do not yuse her.
My process looks like this. And to train one or a bunch of models is everyone's choice))). With this task in this branch I think a lot of good to cope ...
now how exactly the same model(those with the same parameters) recognized real quotes and trained on real quotes too and not on random
No one even commented?
Personally I'm shocked to say the least...
No one even commented on it?
Personally, I'm at the very least freaked out...