Project N.1—recognizing an up session
Let’s start our first machine learning project. Based on Fisher’s experiment, we’re going to do the following:
- Select a target
- Select the features
- Perform the machine learning pipeline
Selecting the target
The objective of Project N.1 is to automatically recognize an up session (Figure 11.4) for AAPL (Apple Inc.) using a machine learning process:
Figure 11.4 – An up session pattern
In Figure 11.4, you can see the target pattern for our first machine learning project. We chose this target for a reason; forecasting an up session allows a trader to plan a risk-calculated trade such as the following:
- Buying at the bar close
- Placing a stop loss under today’s low
- Placing a first target on today’s high
- Holding the position for one day
Let’s look at a practical example. We’ll assume that our model suggests a...
