Friday, September 9, 2016

Yet Another Machine Learing Algorithm - 10 Days Out

This algorithm  is very different from the one I usually use. 

The other algorithm uses regression.  Which is highly inaccurate.

This algorithm uses classification.  The classification is based on one of 3 values: SELL, BUY and BUY1StdDev.  Also this set of data only looks out exactly 10 days. (The other does a forecast for 5 days).

The classifications:

SELL - the price 10 days out is less than the current date's price.
BUY1StdDev - the price 10 days out is greater than the current  price by an average of all 10 day (positive) price changes plus one standard deviation for the same positive prices changes.
BUY - the price 10 days out is higher than the current price.

Based on the confusion matrices seen during testing BUY1StdDev calls should be a heck a lot more confident to be a "buy" than a just plain BUY.

The Accuracy column comes from the output of the WEKA test runs for the algorithm. The Gain column shows the average positive gain plus one standard deviation.

We will see...

Sym 2016-08-26 2016-08-29 2016-08-30 2016-08-31 2016-09-01 2016-09-02 2016-09-06 2016-09-07 2016-09-08 2016-09-09 Accuracy Gain

2016-09-12 2016-09-13 2016-09-14 2016-09-15 2016-09-16 2016-09-19 2016-09-20 2016-09-21 2016-09-22 2016-09-23 % %
AGQ BUY BUY BUY BUY BUY BUY BUY1StdDev BUY BUY BUY 80.00% 20.00
BIB SELL SELL BUY BUY BUY BUY SELL SELL SELL BUY 82.00% 13.00
BIS SELL BUY BUY BUY BUY BUY BUY SELL SELL BUY 75.00% 15.00
BOIL SELL SELL SELL SELL SELL SELL BUY BUY SELL SELL 80.00% 22.00
BOM BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 14.00
BRZU SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 81.00% 31.00
BZQ SELL SELL SELL SELL SELL SELL BUY BUY1StdDev SELL SELL 83.00% 18.00
CURE SELL SELL SELL SELL SELL SELL BUY BUY BUY BUY1StdDev 82.00% 12.00
DDM SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 80.00% 8.00
DGAZ BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 85.00% 37.00
DGLD SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 84.00% 16.00
DIG BUY BUY BUY BUY BUY BUY BUY BUY BUY1StdDev BUY 83.00% 13.00
DRN BUY SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 18.00
DRV SELL BUY BUY BUY BUY BUY SELL SELL SELL SELL 77.00% 17.00
DSLV SELL SELL SELL SELL SELL SELL SELL BUY BUY SELL 85.00% 23.00
DTO BUY SELL SELL SELL SELL SELL SELL BUY BUY BUY 83.00% 21.00
DUG SELL BUY BUY BUY SELL SELL SELL BUY SELL SELL 79.00% 17.00
DUST BUY BUY BUY SELL BUY SELL SELL SELL SELL SELL 82.00% 34.00
DWTI BUY BUY SELL SELL SELL SELL SELL BUY BUY BUY 82.00% 33.00
DXD BUY BUY BUY SELL SELL SELL SELL SELL BUY BUY 75.00% 11.00
DZK SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 16.00
EDC SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 21.00
EET BUY SELL SELL BUY SELL SELL SELL SELL SELL SELL 81.00% 12.00
ERX BUY BUY BUY BUY BUY BUY BUY BUY SELL BUY 85.00% 19.00
ERY SELL BUY BUY SELL SELL SELL SELL SELL BUY SELL 79.00% 22.00
EZJ BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 80.00% 9.00
FAS BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 84.00% 21.00
FAZ SELL BUY SELL BUY BUY SELL SELL BUY SELL BUY 73.00% 21.00
GASL BUY BUY BUY SELL SELL BUY BUY BUY SELL BUY 82.00% 26.00
GLL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 1.00
INDL BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 77.00% 18.00
JDST SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 79.00% 42.00
JNUG BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 5.00
KOLD BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 84.00% 23.00
KORU BUY BUY BUY BUY BUY SELL SELL SELL SELL BUY 82.00% 17.00
LBJ SELL BUY SELL SELL SELL BUY SELL SELL BUY SELL 81.00% 2.00
MIDU SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 16.00
MIDZ SELL BUY SELL SELL BUY BUY1StdDev BUY SELL SELL SELL 74.00% 17.00
MVV SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 80.00% 1.00
MZZ SELL SELL SELL SELL SELL BUY BUY SELL SELL BUY 75.00% 14.00
NUGT SELL SELL BUY BUY BUY BUY SELL SELL SELL BUY 78.00% 37.00
QID BUY BUY SELL BUY BUY BUY BUY BUY SELL SELL 75.00% 13.00
QLD SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 80.00% 1.00
RETL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 77.00% 11.00
REW BUY SELL BUY BUY SELL SELL SELL SELL BUY SELL 77.00% 13.00
ROM SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 81.00% 1.00
RUSL BUY BUY BUY BUY BUY SELL SELL SELL SELL SELL 83.00% 26.00
RUSS SELL SELL SELL SELL SELL SELL SELL BUY BUY SELL 83.00% 32.00
RXD BUY BUY BUY BUY BUY BUY BUY BUY BUY SELL 78.00% 11.00
RXL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 8.00
SAA BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 11.00
SCC SELL SELL SELL SELL SELL BUY BUY SELL SELL SELL 76.00% 13.00
SCO BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 81.00% 22.00
SDP BUY BUY SELL BUY BUY BUY SELL SELL SELL SELL 76.00% 12.00
SDS BUY SELL BUY SELL SELL BUY BUY SELL BUY BUY 76.00% 12.00
SMN BUY SELL BUY BUY BUY BUY SELL BUY SELL SELL 77.00% 19.00
SOXL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 19.00
SPUU SELL SELL SELL SELL SELL BUY BUY BUY SELL BUY 80.00% 7.00
SPXL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 84.00% 14.00
SPXS BUY SELL SELL SELL SELL BUY BUY SELL BUY SELL 76.00% 16.00
SQQQ BUY BUY BUY BUY SELL SELL SELL SELL BUY SELL 77.00% 15.00
SSO SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 79.00% 8.00
SVXY SELL SELL BUY SELL SELL BUY BUY BUY BUY SELL 81.00% 16.00
TBT BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 80.00% 7.00
TECL SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 84.00% 16.00
TECS BUY BUY BUY BUY BUY BUY SELL BUY SELL SELL 75.00% 16.00
TMF SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 12.00
TNA SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 84.00% 18.00
TQQQ SELL SELL SELL SELL SELL SELL BUY BUY SELL SELL 81.00% 14.00
TVIX BUY SELL SELL BUY SELL SELL SELL SELL SELL SELL 72.00% 49.00
TWM SELL SELL SELL BUY BUY BUY BUY SELL BUY BUY 75.00% 16.00
TZA BUY BUY SELL BUY BUY SELL SELL BUY1StdDev BUY BUY 75.00% 2.00
UBR SELL BUY BUY SELL BUY SELL SELL SELL SELL SELL 81.00% 17.00
UBT SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 8.00
UCC SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 1.00
UCO SELL BUY BUY BUY BUY BUY BUY BUY SELL BUY 83.00% 17.00
UDOW SELL SELL BUY1StdDev BUY1StdDev SELL SELL SELL SELL SELL BUY 81.00% 11.00
UGAZ SELL SELL SELL SELL SELL SELL BUY BUY SELL SELL 78.00% 36.00
UGE SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 84.00% 7.00
UGL BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 1.00
UGLD BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 14.00
UMDD SELL SELL SELL SELL SELL BUY SELL SELL SELL BUY 81.00% 13.00
UPRO SELL SELL SELL SELL SELL SELL BUY BUY SELL SELL 81.00% 12.00
UPW SELL SELL BUY BUY BUY SELL BUY1StdDev BUY1StdDev BUY1StdDev BUY1StdDev 81.00% 8.00
URE SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 83.00% 14.00
URTY SELL SELL SELL SELL SELL BUY BUY BUY BUY BUY 82.00% 15.00
USD SELL SELL SELL SELL SELL SELL SELL SELL SELL BUY 80.00% 14.00
USLV BUY BUY BUY BUY BUY SELL SELL SELL SELL BUY 82.00% 27.00
UVXY BUY SELL BUY BUY SELL SELL SELL BUY SELL SELL 75.00% 47.00
UWM SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 81.00% 12.00
UWTI SELL BUY BUY BUY BUY BUY BUY BUY SELL BUY 84.00% 24.00
UXI SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 11.00
UYG BUY BUY BUY BUY BUY BUY BUY BUY BUY BUY 82.00% 14.00
UYM SELL SELL SELL SELL SELL SELL SELL SELL SELL SELL 82.00% 14.00
YANG SELL SELL SELL BUY BUY BUY BUY SELL BUY BUY 81.00% 22.00
YINN BUY BUY BUY BUY BUY SELL SELL SELL SELL SELL 82.00% 19.00
ZSL SELL SELL SELL SELL SELL SELL SELL BUY BUY SELL 82.00% 17.00
at

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)