A predictive model based trading strategy using the principal components of several RSI periods. Principal component analysis seeks to reduce dimensionality while preserving the maximum amount of information or variance. The model shown uses only the RSI as an input and is still quite effective. The principal components of the RSI and other indicators can be effective features for machine learning based trading strategies.


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Code: https://github.com/neurotrader888/RSI...


Links
https://en.wikipedia.org/wiki/Princip...
https://en.wikipedia.org/wiki/Relativ...


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