Multi-timeframe Strategy based on Logistic Regression algorithm
Description:
This strategy uses a classic machine learning algorithm that came from statistics - Logistic Regression (LR).
The first and most important thing about logistic regression is that it is not a 'Regression' but a 'Classification' algorithm. The name itself is somewhat misleading. Regression gives a continuous numeric output but most of the time we need the output in classes (i.e. categorical, discrete). For example, we want to classify emails into “spam” or 'not spam', classify treatment into “success” or 'failure', classify statement into “right” or 'wrong', classify election data into 'fraudulent vote' or 'non-fraudulent vote', classify market move into 'long' or 'short' and so on. These are the examples of logistic regression having a binary output (also called dichotomous).
You can also think of logistic regression as a special case of linear regression when the outcome variable is categorical, where we are using log of odds as dependent variable. In simple words, it predicts the probability of occurrence of an event by fitting data to a logit function.
Basically, the theory behind Logistic Regression is very similar to the one from Linear Regression, where we seek to draw a best-fitting line over data points, but in Logistic Regression, we don’t directly fit a straight line to our data like in linear regression. Instead, we fit a S shaped curve, called Sigmoid, to our observations, that best SEPARATES data points. Technically speaking, the main goal of building the model is to find the parameters (weights) using gradient descent.
In this script the LR algorithm is retrained on each new bar trying to classify it into one of the two categories. This is done via the logistic_regression function by updating the weights w in the loop that continues for iterations number of times. In the end the weights are passed through the sigmoid function, yielding a prediction.
Mind that some assets require to modify the script's input parameters. For instance, when used with BTCUSD and USDJPY, the 'Normalization Lookback' parameter should be set down to 4 (2,...,5..), and optionally the 'Use Price Data for Signal Generation?' parameter should be checked. The defaults were tested with EURUSD.
Note: TradingViews's playback feature helps to see this strategy in action. Warning: Signals ARE repainting.
Style tags: Trend Following, Trend Analysis Asset class: Equities, Futures, ETFs, Currencies and Commodities Dataset: FX Minutes/Hours/Days
Phát hành các Ghi chú
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Minor fix.
Phát hành các Ghi chú
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Price fix in the custom performance testing module.
Hi @capissimo,
This looks awesome. I'd put into my favorite, but only now been able to backtest a bit, and the result is very much promising. Thank you very much.
CryptoBusn
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@creativH, I have using the 1min, 3min, and 5min indicators on this strategy for over a month now. It is by far one of the best indicators I have ever used. But it does not work so well at the 15min, 1hr and more time frames. Too much delay creeps in. Have you used it much yet to trigger deals?
rishabhmohaniss
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@CryptoBusn, how do u use this indicator, like what kind of strategy do u recommend using this as the trigger?, btw do u still use this indicator? any input would be appreciated.
PlazoSullivanRocheCapital
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@CryptoBusn, Sharing that we built Ninja Trader and Ctrader fully autonomous systems on KNN and Logistic regression algorithms as well. Same observation. 5Min and below is optimal
fenderbuum
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astonishing
ichiragshenoy
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I'm a bit new to trading view, but I have been observing your strategies. The kNN strategy works really too, I also back tested it !
I'm looking at automating this, but I don't understand what repainting means.
Could you please throw me some light on that ?
My idea of automating was - On the 1hr time frame chart , check a candle after it's been completed (when the next candle has just started). If there is a change in signal, take the trade accordingly.
Would this work ?
capissimo
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@iambobo, if you check a candle after it's been completed, it'll work
ichiragshenoy
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@capissimo, Okay, thanks for the quick reply ! :)
Anything else I need to keep in mind while trying to automate ?
navyreal7
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@iambobo, repainting is the nastiest thing in the backtest ... these are false indicators on history, which in real trading have the worst indicators at times