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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 in range(60, 1482): X_train.append(training_set_scaled[i-60:i, 0]) y_train.append(training_set_scaled[i, 0])

Got it, thanks a lot for the thorough reply!

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 standardize the OHLC data together and the V data separately?

Got it, thanks, let me take a look.

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 = (X - Xmean) / Xmean output Y = (Y - Xmean) / Xmean so everything is normalized to the mean of the input data. But I'm not sure if this is the best...

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 help. I'm using python's geneticalgorithm package (https://pypi.org/project/geneticalgorithm/) and the results (after 1 hour) is much worse than the...

Got it, thanks a lot! Let me try this one.

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 network to improve the results but I don't think it's a good investment of time at this point. I was looking for some online article talking about some...

Got it, thanks!

Thanks for the info! Yeah the training I did already include volume information. But the model trained are probably not as sophisticated in characterizing volatility as semi-manually designed models. Also sniffing out larger orders is very interesting. In manual trading, I also found it to be a...

Thanks for the recommendation, I saw a post about it (https://towardsdatascience.com/time-series-forecasting-predicting-stock-prices-using-an-arima-model-2e3b3080bd70) but haven't followed it. I followed a similar post about using Facebook's Prophet...

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" in prediction. By "being not recursive", I mean that the training phase didn't take into account any supervision from more than one day ahead. This...

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 to predict with reasonable accuracy. Wonder if there is any article I can read about this in more depth? Is it mostly a frequentist model based on...

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 evaluate whether your model really "understands" the underlying dynamics or simply making silly guesses. The website doesn't provide a model, but...

Thanks for the pointers. Seems like that you are hinting decomposing the price movement in the frequency domain? I did some search online and found some conflicting opinions on using fourier transform, like this one: https://journals.vgtu.lt/index.php/JBEM/article/download/2243/1799/ Wonder...

hi everyone, I'm new to the field of price prediction modeling and currently I'm experimenting the LSTM model. I found a few posts online, like this one : https://towardsdatascience.com/lstm-time-series-forecasting-predicting-stock-prices-using-an-lstm-model-6223e9644a2f . They however all...

I've researched this information for a few days and prototyped a program to calculate it, but I find my results very different from those reported from trading platforms. I wonder if I can get some help understand why. My method: * Download 1 minute intraday data for a symbol * In the minute...

For the other feeds (Yahoo Finance, Alpha Vantage, Twelve Data and Finnhub), I simply picked 20 random stocks and download their last day 1m data. For best data quality, I expect 20 * 60 * 6.5 data points. The best they give is only around 60-70%. The remaining 30% data points are missing. I...

Also I wonder how's the data quality of IQFeed's intraday 1m data? I was hoping to have a look with a free trial and then decide whether to sign up (but the API fee makes the free trial not free.) I have tried Yahoo Finance, Alpha Vantage, Twelve Data and Finnhub, and none of them have good...

Got it, thanks!