ASX200 components: A.I. predictions of short term trend

[drasx]

Index MA5 5-days look-ahead - % Change
Updated for 06.07.21 EOD

 

[drasx]

ASX200 update as of 07/07/21 EOD

 

[drasx]

Index MA5 5-days look-ahead - % Change
Updated for 07.07.21 EOD

 

[drasx]

ASX200 update as of 08/07/21 EOD

 

[drasx]

Index MA5 5-days look-ahead - % Change
Updated for 08.07.21 EOD

I've removed the Actual values from Monday where the US markets didn't trade and it was distorting the Actual MA5 figures.

 

[drasx]

Update of 9/7/21 EOD

 

[drasx]

Added missing index predictions

 

[drasx]

Updated for 12/07/21 EOD

 

[qldfrog]

do you keep a plot of prediction vs actual for the ASX(and other indexes), either as a line/time which would allow to understand influence of minicrash etc
or just a target plot dot per day
would like to see it that way, and this feeling is probably shared, inc. by you? ;-)

 

[entropy]

Hi there, I'm going to post here daily, for a few weeks, my AI generated predictions for the ASX200 components.

• What data is used?

Only End-Of-Day trading data is used (Open, High, Low, Close, Volume)

• What is predicted?

The percentage change in the simple-moving-average of the last 5 days (MA5) vs the MA5 calculated 5 trading days into the future.
For example, if today is Friday, today's MA5 will be calculated over the most recent 5 days (Mon-Tue-Wed-Thu-Fri) and the prediction will be the percentage change in MA5 today vs MA5 calculated next Friday.

• How to read the prediction?

The primary components of the prediction [Move Probabilities and Average Magnitude] will give you the Probability/Chance of a move together with the statistical mean of the magnitude of the move. Primary components are split in Win/Neutral/Loss. Of course Win/Loss different meaning depending on the position taken Long/Short.
The primary components are summarised in a single figure [Directional % Change] to give the statistical magnitude of the predicted change + for Increase and - for Decrease.

• What is the algorithm used?

I use a machine learning algorithm that has 38 inputs, all based on technical indicators that are derived from the EOD data.

• How big is the data used for training / testing the ML algorithm?

EOD data has been collected for a few thousands stocks across EU/US/AUS for the 1998 - 2022 (or shorter) period so the ML algorithm has learnt both from good times and bad times. In total I have a bit over 6 million patterns for training and 2 million for validation.

• What R-squared did you get on the validation data?

Explained Variance Score is 0.34349
R2 Score is 0.34348

• How often will you be posting the predictions

For the next 4 weeks, I'll make sure to post once a day (Mon-Fri) either 1 hour after the close of ASX or the next trading day before 8am

• Why am I doing this?

There are a few reasons that come to mind: validation of the algorithm, feedback, socialising while in isolation...

I attach here the prediction file I've generated yesterday after the close just to be used as an example. I'll post again today after the close when todays EOD is available.

Note: I don't give any promises regarding those predictions, investment in stock market is a high risk activity and majority of short term traders lose in the long run.


Cheers.

Hi drasx,

My compliments on an excellent piece of work and its presentation!
I have used the R program and some of its ML packages for data other than the stock markets.
You have motivated me to venture into the area.
If you don't mind me asking which program and/or quant package did you use?
Any advice appreciated.