Machine Learning: Trend Pulse

2023년 8월 30일

⚠️❗ Important Limitations: Due to the way this script is designed, it operates specifically under certain conditions:
Stocks & Forex: Only compatible with timeframes of 8 hours and above ⏰
Crypto: Only works with timeframes starting from 4 hours and higher ⏰
❗Please note that the script will not work on lower timeframes.❗

Feature Extraction: It begins by identifying a window of past price changes. Think of this as capturing the "mood" of the market over a certain period.

Distance Calculation: For each historical data point, it computes a distance to the current window. This distance measures how similar past and present market conditions are. The smaller the distance, the more similar they are.

Neighbor Selection: From these, it selects 'k' closest neighbors. The variable 'k' is a user-defined parameter indicating how many of the closest historical points to consider.

Price Estimation: It then takes the average price of these 'k' neighbors to generate a forecast for the next stock price.

Z-Score Scaling: Lastly, this forecast is normalized using the Z-score to make it more robust and comparable over time.

Inputs:

histCap (Historical Cap): histCap limits the number of past bars the script will consider. Think of it as setting the "memory" of model—how far back in time it should look.

sampleSpeed (Sampling Rate): sampleSpeed is like a time-saving shortcut, allowing the script to skip bars and only sample data points at certain intervals. This makes the process faster but could potentially miss some nuances in the data.

winSpan (Window Size): This is the size of the "snapshot" of market data the script will look at each time. The window size sets how many bars the algorithm will include when it's measuring how "similar" the current market conditions are to past conditions.

All these variables help to simplify and streamline the k-NN model, making it workable within limitations. You could see them as tuning knobs, letting you balance between computational efficiency and predictive accuracy.