Machine Learning: kNN-based Strategy

2020년 12월 30일

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

2021년 4월 26일

릴리즈 노트

Added alerts.

2022년 10월 23일

릴리즈 노트

An upgrade to Pinescript v.5.

2022년 10월 23일

릴리즈 노트

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

2022년 10월 23일

릴리즈 노트

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

2022년 10월 23일

릴리즈 노트

Minor fix.