Machine Learning: LVQ-based Strategy

2021년 1월 26일

LVQ-based Strategy (FX and Crypto)

Description:

Learning Vector Quantization (LVQ) can be understood as a special case of an artificial neural network, more precisely, it applies a winner-take-all learning-based approach. It is based on prototype supervised learning classification task and trains its weights through a competitive learning algorithm.

Algorithm:

Initialize weights
Train for 1 to N number of epochs
- Select a training example
- Compute the winning vector
- Update the winning vector
Classify test sample

The LVQ algorithm offers a framework to test various 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. The algo is tested with BTCUSD/1Hour.

Warning: This is a preliminary version! Signals ARE repainting.
***Warning***: Signals LARGELY depend on hyperparams (lrate and epochs).

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

2021년 1월 26일

릴리즈 노트

Minor fix.

2021년 1월 26일

릴리즈 노트

Minor edit.

2021년 1월 26일

릴리즈 노트

Added signal reversal. Some assets and TFs require inverting the signal. Mind this is the work in process.