Recent Content by jublin

  1. Recommendations on time-series price prediction models?

    By the way, I went through the post and confirm that it predicts one day ahead. It uses the last 60 days of data to predict the next day: for i...
    Post by: jublin, May 25, 2021 in forum: Automated Trading

  2. Recommendations on time-series price prediction models?

    Got it, thanks a lot for the thorough reply!
    Post by: jublin, May 21, 2021 in forum: Automated Trading

  3. Recommendations on time-series price prediction models?

    Got it, that makes sense! By standardizing each input independently, you mean each dimension right? If I have OHLCV data, does it make sense to...
    Post by: jublin, May 18, 2021 in forum: Automated Trading

  4. Recommendations on time-series price prediction models?

    Got it, thanks, let me take a look.
    Post by: jublin, May 18, 2021 in forum: Automated Trading

  5. Recommendations on time-series price prediction models?

    Yes I did, I was debating whether I should normalize it to normal distribution or something else. Eventually I did: Xmean = mean from input X X =...
    Post by: jublin, May 18, 2021 in forum: Automated Trading

  6. Recommendations on time-series price prediction models?

    Hey Phil, I tried to replicate the parabolic + cosines method you outlined. However I got stuck on the GA step and wonder if you can give me any...
    Post by: jublin, May 18, 2021 in forum: Automated Trading

  7. Recommendations on time-series price prediction models?

    Got it, thanks a lot! Let me try this one.
    Post by: jublin, May 18, 2021 in forum: Automated Trading

  8. Recommendations on time-series price prediction models?

    Yeah, I forgot to mention I tried that, like using 5 days of data, instead of 1, in the training. The results are bad. I probably can tune the...
    Post by: jublin, Apr 16, 2021 in forum: Automated Trading

  9. Recommendations on time-series price prediction models?

    Got it, thanks!
    Post by: jublin, Apr 16, 2021 in forum: Automated Trading

  10. Recommendations on time-series price prediction models?

    Thanks for the info! Yeah the training I did already include volume information. But the model trained are probably not as sophisticated in...
    Post by: jublin, Apr 15, 2021 in forum: Automated Trading

  11. Recommendations on time-series price prediction models?

    Thanks for the recommendation, I saw a post about it...
    Post by: jublin, Apr 15, 2021 in forum: Automated Trading

  12. Recommendations on time-series price prediction models?

    Hi I agree that using a "recursive" approach is dicy and it amplifies error over time. For sure, the one-step model can be applied "recursively"...
    Post by: jublin, Apr 15, 2021 in forum: Automated Trading

  13. Recommendations on time-series price prediction models?

    Hi thanks, this is great. Indeed, the mentioned ETF increased from 4/6 to 4/12 and then went down. I didn't expect such a simple model to be able...
    Post by: jublin, Apr 15, 2021 in forum: Automated Trading

  14. Recommendations on time-series price prediction models?

    By "recursive" I mean to feed the output of one day as the input to the next day. This way you can predict many days in the future and use that to...
    Post by: jublin, Apr 5, 2021 in forum: Automated Trading

  15. Recommendations on time-series price prediction models?

    Thanks for the pointers. Seems like that you are hinting decomposing the price movement in the frequency domain? I did some search online and...
    Post by: jublin, Apr 5, 2021 in forum: Automated Trading