I'm trying for some time now to develop a neural network that can predict bitcoin prices. Bitcoin is a great asset for such an experiment because it has fewer fundamentals than the other stocks or derivatives and it relies more on technical analysis than other assets. Nevertheless, it is impacted from time to time by the news and other events in the crypto-world.
I am working with TF (tensorflow) + Keras and LSTM (Long-Short Term Memory) cells to try and predict future prices.
If I let the network guess freely, from some point onwards, without feeding the price of the tick before, the predictions look like this: https://i.imgur.com/Qk50hdv.png and this https://i.imgur.com/OCRep8r.png
If i adjust it at every point in the dataset (feed the price of the tick before), it is needless to say that the graph of predictions is way more precise: https://i.imgur.com/Y1H3n9z.png
There are few steps I would like to take to improve this
- Factor in Technical indicator (BB, Ichimoku Cloud, SAR, etc...
- Place a factor for fundamental analysis in the dataset (for example, a score for the positivity of the news at that specific tick (0=bad news for btc, 10=great news)[/li]
- Collect data from the order books of the largest exchanged and factor in the order book states at every tick
- Unsupervised learning and K-Clustering to find co-relations between bitcoin and other foreign currency (for example, it might be that there's an inverse relationship between bitcoin and the Yuan (generally when Yuan drops, Bitcoin rises). K-Clustering can find such relationships
- Merging all of the above into a trading bot that aims for around 30%-40% return a year
Does anyone pursue such a goal? If yes, would you like to share the accumulated knowledge/ideas? :D
This is a serious project and currently, only me and two of my partners are involved in it, but we could sure use some more man-power. I'd also like to know if someone would like to fund such a venture and get involved.
Cheers to you all!
No comments:
Post a Comment