I decided to do a home project.
What I did can be expressed in 3 simple steps:
1. I disassembled markat data into separate waves.
Screenshot1.png
2. Predict 5 new possible readings using arima.
Screenshot2.png
3. Reconstract market data from the new readings.
So here's what I've got:
Before you watch, bear in mind that:
There are 5 lines because I was switching between buffers because I didn't want to overwrite previous prediction with the new one.
The predictions are done for Open prices.
When you see a line staring at bar X, it means that the prediction was calculated on previous bar opening.
The prediction in this case was based on sample of 60 bars.
Screenshot3.png
So I have presented to you the results of my little experiment.
As far as I'm concerned This doesn't seem to work, at least not for small samples. Maybe if I had a cluster of 1440 CPU's and the sample would consist of data from a whole week, the results would be better, but who knows.
Please, if anybody has any experiance or any other observations he/she would like to share, please do.
I look forward to your comments.
What I did can be expressed in 3 simple steps:
1. I disassembled markat data into separate waves.
Screenshot1.png
2. Predict 5 new possible readings using arima.
Screenshot2.png
3. Reconstract market data from the new readings.
So here's what I've got:
Before you watch, bear in mind that:
There are 5 lines because I was switching between buffers because I didn't want to overwrite previous prediction with the new one.
The predictions are done for Open prices.
When you see a line staring at bar X, it means that the prediction was calculated on previous bar opening.
The prediction in this case was based on sample of 60 bars.
Screenshot3.png
So I have presented to you the results of my little experiment.
As far as I'm concerned This doesn't seem to work, at least not for small samples. Maybe if I had a cluster of 1440 CPU's and the sample would consist of data from a whole week, the results would be better, but who knows.
Please, if anybody has any experiance or any other observations he/she would like to share, please do.
I look forward to your comments.