Explore the geometric interpretation of machine learning models and their impact on trading strategies. Unlike traditional methods, which merely map inputs to outputs, these models embed target images onto a space defined by inputs, causing potential misalignment and irreducible errors. This nuance affects prediction accuracy, emphasizing the need for multi-step forecasts over direct comparisons. A practical case shows a 153% increase in profitability by leveraging such predictions. Key techniques include the use of ONNX models for cross-platform deployment and the refinement of strategies through analysis of model predictions, aligning coordinate systems for improved trading outcomes without altering the base model.

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Markets often operate in cycles of optimism and pessimism, and traditional mechanical strategies can fall short in volatile conditions. To address this issue, advanced machine learning methods such as Variational Autoencoders (VAEs) are introduced for trading strategies. These models compress noisy data into core features, crucial for discerning valid signals amidst market noise.

A significant advance involves the integration of VAEs with binary event encoding, contrasting previous continuous-value pipelines which diluted key signals. This approach enhances signal clarity, stability, and live performance. The MQL5 Wizard facilitates the assembly of trading strategies by combining custom signal classes with machine learning models. This allows for adaptive strategies that are aligned with market dynamics.

The process involves training models in Python, expo...

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The latest article in our MetaTrader 5 Machine Learning series delves into the implementation of the adaptive trend-scanning labeling method. This method refines trade prediction by dynamically determining the most statistically significant time horizon, rather than relying on a fixed duration. The trend-scanning technique utilizes t-statistics to find genuine trends, enhancing adaptability to volatile or calm market periods. Key innovations include the use of Numba for speed optimization and dynamic volatility filtering to prevent noise. Tested with a moving average crossover strategy, trend-scanning significantly outperformed fixed horizon labeling, improving risk-adjusted returns and offering robust insights for adaptive algorithmic trading.

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Machine learning algorithms in trading strategies present specific challenges. Address issues like model architecture, algorithm selection, and loss functions carefully. Time series cross-validation is crucial for evaluating model performance, ensuring data integrity, and preventing overfitting. It manages bias-variance trade-offs, allowing for more reliable models.

Historical data fetching can be enhanced using custom scripts in environments like MQL5. After data preparation, leveraging libraries such as Pandas and Matplotlib facilitates comprehensive analysis. Structured validation processes improve model performance even with constrained data sets.

Extending models to ONNX protocol enables cross-platform deployment. Conversion includes defining input-output shapes and saving as .onnx files. System resource management optimizes performance during tradi...

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The article delves into the complexities of financial machine learning, highlighting a critical challenge faced by algorithmic trading models: label concurrency. In financial time series, labels that overlap in time create dependencies that contradict the Independent and Identically Distributed (IID) assumption of most ML algorithms. This often leads to overfitted models with poor out-of-sample performance. The solution proposed involves sample weighting based on average uniqueness, quantifying the unique information each data point represents and adjusting weights accordingly. This adjustment aims to rectify model training by prioritizing unique data points. The discussion also introduces three methods to handle non-IID data, focusing on bagging techniques and specific measures to enhance model reliability in trading environments.

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The application of machine learning to algorithmic trading presents unique challenges, especially within financial markets. Traditional supervised learning techniques fall short due to the fluid nature of market targets, unlike more defined domains like medicine. In trading, the target is not fixed, leading to methodological hurdles in model prediction. For instance, modeling financial returns or volatility presents diverse difficulties. This ambiguity in defining targets could hinder performance more than data or model weaknesses.

The inconsistency in target definition across various markets highlights the need for adaptable strategies. Performance ceilings in statistical models often result from methodological limitations. By redefining target variables, empirical model adjustments can enhance outcomes. Experimentation reveals that trading success hinges ...

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