Part #2 – a decision support system

Error rate with the latest NARX simulations was moderately low. It was measured by dividing the difference between y-actual and y-predicted for the median price by the average length of the candle.

with H4 and H8 constructed bars, the lowest errors with respect to candle size was 18-21% in the case of some USDCAD data, and EURSEK (a very impressive 15%) which means that the average error between predicted and actual median was around only 15% of the average length of a bar.

Part #2 starts now:

Using that target prediction to create a profitable decision support system.

The main algorithm that I’m about to try is:

1. use NN to predict target for either H4 or H8

2. when target prediction is obtained, monitor the progression of the price:

if price moves away from target median by x pips (and a confirmation from indicator is obtained, if any), enter market.

3. exit market if either:

TP is hit

SL is hit

Target price candle is closed.


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