OPEN-SOURCE SCRIPT
Machine Learning: LVQ-based Strategy
Atualizado
LVQ-based Strategy (FX and Crypto)
Description:
Learning Vector Quantization (LVQ) can be understood as a special case of an artificial neural network, more precisely, it applies a winner-take-all learning-based approach. It is based on prototype supervised learning classification task and trains its weights through a competitive learning algorithm.
Algorithm:
Initialize weights
Train for 1 to N number of epochs
- Select a training example
- Compute the winning vector
- Update the winning vector
Classify test sample
The LVQ algorithm offers a framework to test various indicators easily to see if they have got any *predictive value*. One can easily add cog, wpr and others.
Note: TradingViews's playback feature helps to see this strategy in action. The algo is tested with BTCUSD/1Hour.
Warning: This is a preliminary version! Signals ARE repainting.
***Warning***: Signals LARGELY depend on hyperparams (lrate and epochs).
Style tags: Trend Following, Trend Analysis
Asset class: Equities, Futures, ETFs, Currencies and Commodities
Dataset: FX Minutes/Hours+++/Days
Description:
Learning Vector Quantization (LVQ) can be understood as a special case of an artificial neural network, more precisely, it applies a winner-take-all learning-based approach. It is based on prototype supervised learning classification task and trains its weights through a competitive learning algorithm.
Algorithm:
Initialize weights
Train for 1 to N number of epochs
- Select a training example
- Compute the winning vector
- Update the winning vector
Classify test sample
The LVQ algorithm offers a framework to test various indicators easily to see if they have got any *predictive value*. One can easily add cog, wpr and others.
Note: TradingViews's playback feature helps to see this strategy in action. The algo is tested with BTCUSD/1Hour.
Warning: This is a preliminary version! Signals ARE repainting.
***Warning***: Signals LARGELY depend on hyperparams (lrate and epochs).
Style tags: Trend Following, Trend Analysis
Asset class: Equities, Futures, ETFs, Currencies and Commodities
Dataset: FX Minutes/Hours+++/Days
Notas de Lançamento
Minor fix.Notas de Lançamento
Minor edit.Notas de Lançamento
Added signal reversal. Some assets and TFs require inverting the signal. Mind this is the work in process.Script de código aberto
No verdadeiro espírito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam compreendê-lo e analisá-lo. Parabéns ao autor! Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações é regida pelas Regras da Casa. Você pode favoritá-lo para usá-lo em um gráfico.
Aviso legal
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