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