Trading signals: an introduction
We detail the methodology for creating effective predictor variables and the necessary pre-processing to be applied to guarantee the robustness of our analyses.
To summarize our current progress, we're looking at the method of developing a machine learning-based trading strategy. At the heart of this strategy, we have three main elements to consider:
A variable to be predicted, denoted Y, for example, the rise or fall in the price of a share. When we define this variable, we need to bear in mind that if we can p…