notadamking/RLTrader
Vedi su GitHubAllow user-defined prediction models to replace SARIMAX with LSTM, FB Prophet, etc.
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#15 aperta il 7 giu 2019
enhancementgood first issuehelp wantedquestion
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Descrizione
Instead of using the SARIMAX model's predictions to be fed as a feature / observation into the agent at every time step, maybe using the predictions of a separately trained LSTM may perform better. I've found that LSTM's trained on stationary time series usually perform ok, in that their prediction "direction" (up or down) is generally correct. Also, the slope (change in log returns with respect to time) of the LSTM prediction can be used as an additional input feature as an indicator for the severity of the predicted change (will the price jump up or down suddenly?).