- 30 June 2021
Index MA5 5-days look-ahead - % Change
Updated for 06.07.21 EOD
Updated for 06.07.21 EOD
Hi drasx,Hi there, I'm going to post here daily, for a few weeks, my AI generated predictions for the ASX200 components.
Only End-Of-Day trading data is used (Open, High, Low, Close, Volume)
- What data is used?
The percentage change in the simple-moving-average of the last 5 days (MA5) vs the MA5 calculated 5 trading days into the future.
- What is predicted?
For example, if today is Friday, today's MA5 will be calculated over the most recent 5 days (Mon-Tue-Wed-Thu-Fri) and the prediction will be the percentage change in MA5 today vs MA5 calculated next Friday.
The primary components of the prediction [Move Probabilities and Average Magnitude] will give you the Probability/Chance of a move together with the statistical mean of the magnitude of the move. Primary components are split in Win/Neutral/Loss. Of course Win/Loss different meaning depending on the position taken Long/Short.
- How to read the prediction?
The primary components are summarised in a single figure [Directional % Change] to give the statistical magnitude of the predicted change + for Increase and - for Decrease.
I use a machine learning algorithm that has 38 inputs, all based on technical indicators that are derived from the EOD data.
- What is the algorithm used?
EOD data has been collected for a few thousands stocks across EU/US/AUS for the 1998 - 2022 (or shorter) period so the ML algorithm has learnt both from good times and bad times. In total I have a bit over 6 million patterns for training and 2 million for validation.
- How big is the data used for training / testing the ML algorithm?
Explained Variance Score is 0.34349
- What R-squared did you get on the validation data?
R2 Score is 0.34348
For the next 4 weeks, I'll make sure to post once a day (Mon-Fri) either 1 hour after the close of ASX or the next trading day before 8am
- How often will you be posting the predictions
There are a few reasons that come to mind: validation of the algorithm, feedback, socialising while in isolation...
- Why am I doing this?
I attach here the prediction file I've generated yesterday after the close just to be used as an example. I'll post again today after the close when todays EOD is available.
Note: I don't give any promises regarding those predictions, investment in stock market is a high risk activity and majority of short term traders lose in the long run.