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ML Learned Price History using Del Prado triple barrier criteria

HI All,

This is my algo that implement an ML classifier that uses prices history to train a classifier. The training classes are obtained from applying a triple barrier on the price movement n days later. i.e. +1 if price crosses the top barrier, -1 if the price crosses the lower barrier and 0 if the price crosses the backwall.

It trains on price histories of the QTradeable universe. The time series are normalized and bunched together.

I am posting it now because there is a lot of improvement that can be done to it and maybe the B&B (best and brightest) can help.

Enjoy,

Luc