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Machine Learning: kNN-based Strategy

kNN-based Strategy (FX and Crypto)

Description:
This strategy uses a classic machine learning algorithm - k Nearest Neighbours (kNN) - to let you find a prediction for the next (tomorrow's, next month's, etc.) market move. Being an unsupervised machine learning algorithm, kNN is one of the most simple learning algorithms.

To do a prediction of the next market move, the kNN algorithm uses the historic data, collected in 3 arrays - feature1, feature2 and directions, - and finds the k-nearest
neighbours of the current indicator(s) values.

The two dimensional kNN algorithm just has a look on what has happened in the past when the two indicators had a similar level. It then looks at the k nearest neighbours,
sees their state and thus classifies the current point.

The kNN algorithm offers a framework to test all kinds of indicators easily to see if they have got any *predictive value*. One can easily add cog, wpr and others.
Note: TradingViews's playback feature helps to see this strategy in action.
Warning: Signals ARE repainting.

Style tags: Trend Following, Trend Analysis
Asset class: Equities, Futures, ETFs, Currencies and Commodities
Dataset: FX Minutes/Hours+++/Days

릴리즈 노트

Added alerts.

릴리즈 노트

An upgrade to Pinescript v.5.

릴리즈 노트

Major Fix. Changedthe signal filter application point and corrected the class label calculation.

릴리즈 노트

Major fix. Added bars count for clear condition variable. Replaced endLongTrade and endShortTrade variables with clear_condition

릴리즈 노트

Minor fix.

오픈 소스 스크립트

In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.

For quick access on a chart, add this script to your favorites — learn more here.