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Please include your IP address in your email. Machine learning and trading is a very interesting subject. It is also a subject where you can spend tons of time writing code and reading papers and then a kid can beat you while playing Mario Kart. This and only this could make a ton of difference in your bank roll. I love the EURUSD vs GBPJPY correlation! Machine learning algorithms are algorithms where a machine can identify patterns in your data.
For example, find all the animals in this photo and draw a box around them. Find how can I make money based on this chart and do all the trades. For identifying objects this is straight-forward but what about trading? R lines but to no avail.
So I decided to write the first machine learning program in python that identifies support and resistance lines in Python. But how can an algorithm identify these areas? I can use the “edges” as support and resistance lines. Cool idea but does it work? We analyse around 12 million datapoints of EURUSD in 2014 and a couple of months of 2015. The resistance lines are placed automagically by a machine learning algorithm. It gets really spooky when we are going to use the algorithm to identify micro-structures and start scalping.
The code is here so go crazy. Now let’s step through the code. After you have your set of data you need to read them and clean them. This makes it MUCH easier to plot. The grouped_data are the data that we will feed into the ml algorithm.