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- ForexStats replied Oct 2, 2023
EUR/USD is now exiting it's most seasonally unfavorable period of the year.
- ForexStats replied Sep 5, 2023
Historically, this has been a volatile time of the year for NZD/USD. There may be some seasonal strength near term. image
- ForexStats replied Sep 5, 2023
We're going into a historically weak period for USD/CAD. image
- ForexStats replied Sep 5, 2023
Historically, USD/CHF has done very well going into this time of the year. image
- ForexStats replied Sep 5, 2023
Here's my seasonal chart, updated for September, if anyone is interested. image It looks like a good month, followed by a rough October.
- ForexStats replied Aug 9, 2023
CPI... Same models as last time so they're low confidence, but I'd like to document how they do none-the-less. M/M - Matches expectations. image Y/Y - Below expectations. image
- ForexStats replied Aug 9, 2023
I was just looking at some seasonal charts and noticed GBP/USD has a strong downward bias in August. Thought you all might be interested to see! image
- ForexStats replied Aug 3, 2023
My shot in the dark NFP prediction this month: image All models suggest a much better number than the 205k forecast.
- ForexStats replied Jul 31, 2023
I don't use MAPE, but here are the mean and median absolute errors along with the R2 for the test set: image For what it's worth, this isn't the top performing model for the test set.
- ForexStats replied Jul 31, 2023
ISM Manufacturing PMI is due tomorrow and the FF forecast is for 46.9. My machine learning models suggest slightly better, with a median forecast of 47.5. image
- ForexStats replied Jul 31, 2023
ISM PMI is due tomorrow and the FF forecast is for 46.0. Here's what my ML models are forecasting. This time I added in the FF forecast as a feature. image And here are the old models without the FF forecast. Some actually have better error ...
- ForexStats replied Jul 25, 2023
Yep, it looks like I'll need to find a new data source. Yahoo! Finance has been convenient to use, but I see they've got some big gaps between their open and close which shouldn't happen during the week: image Moreover, I can't figure out when ...
- ForexStats replied Jul 17, 2023
I added a new feature and the results improved significantly. Here are the metrics version 2 produced on the test set: image That appears to be a great system, but I'll admit I'm skeptical. As they say, if it seems to be too good to be true it ...
- ForexStats replied Jul 17, 2023
I moved the strategy from a python file to a Jupyter notebook and the results improved. image Of course, the results didn't really change as everything runs exactly the same. However, something could have been wrong with the dataframe I originally ...
- ForexStats replied Jul 12, 2023
I put together some ML models tonight for CPI. They use the prior CPI, average hourly earnings, import prices, WTI, and gasoline as features. The FF calendar has 0.3% and 3.1% for the MM and YY forecasts. M/M, my models came up with an average ...
- ForexStats replied Jul 6, 2023
I adapted my models for NFP using ADP and the prior NFP as features. The models came out pretty bad to be honest, with a high error on each. Still, here's the shot in the dark prediction: image I'll see what else I can add as features next month ...
- ForexStats replied Jul 6, 2023
I added a new feature, the prior ISM PMI. That seemed to help the models quite a bit: image Thiel-Sen was only off by .5 this time, still with no hyperparameter tuning.
- ForexStats replied Jul 2, 2023
ISM Manufacturing PMI is due out at 10:00AM EST and the FF calendar forecasts it to be 47.2. My models suggest it may come in higher. I trained 5 separate machine learning models on regional PMI data for June and they all produced higher estimates ...
- ForexStats replied Jul 2, 2023
ISM Manufacturing PMI is due out at 10:00AM EST and the FF calendar forecasts it to be 47.2. My models suggest it may come in higher. I trained 5 separate machine learning models on regional PMI data for June and they all produced higher estimates ...
- ForexStats replied Jul 2, 2023
ISM Manufacturing PMI is due out at 10:00AM EST and the FF calendar forecasts it to be 47.2. My models suggest it may come in higher. I trained 5 separate machine learning models on regional PMI data for June and they all produced higher estimates ...