Combining Technical Analysis and Machine Learning to create profitable trading strategies

Discussion in 'Strategy Building' started by arsene007, Aug 2, 2019.

  1. traider

    traider

    did u fit a hidden markov model? How do u fit a plain 2 state markov model?
    Any links to papers?
     
    #11     Aug 3, 2019
  2. ag123

    ag123

    your strategy is interesting, so i tried plotting EMA7 on s&p 500 using yahoo finance
    https://yhoo.it/2OG296C
    some observations though it seem to work better when stocks are moving in a rather strong uptrend or downtrend, however during periods where prices are trading in a wavy but flat sideways or high volatility but marginally declining price trend, EMA7 apparently gets caught in the whipsaw as well
    then there are also periods when prices are literally 'hugging' EMA7 that may be an issue as since the candles threads along EMA7 it could close one day below EMA7 and next day above EMA7.
    nevertheless thanks for sharing, this is quite an interesting finding but EMA7 alone won't be adequate as a catch all rule

    the other thing is the rather large number of trades, if cost of each trade is significant the returns may be smaller than the simulation suggest
     
    Last edited: Aug 3, 2019
    #12     Aug 3, 2019
    arsene007 likes this.
  3. arsene007

    arsene007

    There are free resources on the net. Just type hidden markov model in R in google and you will find plenty of helpful resources.
     
    #13     Aug 4, 2019
  4. traider

    traider

    i've trained a HMM before, what inputs did you feed into yours? Probably going to do the next version in Python
     
    #14     Aug 4, 2019