Predict profitability of trades based on indicator buy / sell signals

Last update: Dec 15, 2021

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Machine Learning TradeProfitability

Overview

Predict profitability of trades based on indicator buy / sell signals

Trade profitability analysis for trades based on various indicators signals:

MACD

Simple Moving Average

Exponential Moving Average

Trading assumptions:

Trade is profitable if, profit >0
Buy / sell happen the following day of the signal
Buy / sell are taken 10% from the open price towards close price

Machine learning assumptions:

Binary classification: 1 - profit, 0 - loss
A separate model for each company / ticker
Model is trained vs optimal precision

Machine learning models used:

Linear Support Vector Classifier
Decision Tree Classifier
Random Forest Classifier
Gradient Boosting Classifier
XGBoost Classifier
Keras classifier

Trade analysis intermediate results:
30-40% of trades based on indicator signals are profitable
In general trades on SMA signals are more often profitable than the ones based on EMA signals

Trade profitability predictions intermediate results (based on test data)/
The precision of the predictions is oscilating around 70%, which is pretty good, considering that the analysts estimate other signals accuracy as 30 to 50% (double top, shoulder & arms, etc). This means, there is ~70% chance that predicted trade will be profitable (Reminder: profitable -> profit > 0)
However, the recall is only around 15%, which means that very the model pick-up very few of the actually profitable trades.

#Detailed analysis tbc

Predict profitability of trades based on indicator buy / sell signals

Related tags

Overview

Predict profitability of trades based on indicator buy / sell signals

Owner

Tomasz Porzycki

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Predict profitability of trades based on indicator buy / sell signals

Related tags

Overview

Predict profitability of trades based on indicator buy / sell signals

Owner

Tomasz Porzycki

Kubeflow is a machine learning (ML) toolkit that is dedicated to making deployments of ML workflows on Kubernetes simple, portable, and scalable.

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