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VWMA with kNN Machine Learning: MFI/ADX

This is an experimental strategy that uses a Volume-weighted MA ( VWMA ) crossing together with Machine Learning kNN filter that uses ADX and MFI to predict, whether the signal is useful. k-nearest neighbours (kNN) is one of the simplest Machine Learning classification algorithms: it puts input parameters in a multidimensional space, and then when a new set of parameters are given, it makes a prediction based on plurality vote of its k neighbours.

Money Flow Index ( MFI ) is an oscillator similar to RSI , but with volume taken into account. Average Directional Index ( ADX ) is an indicator of trend strength. By putting them together on two-dimensional space and checking, whether nearby values have indicated a strong uptrend or downtrend, we hope to filter out bad signals from the MA crossing strategy.

This is an experiment, so any feedback would be appreciated. It was tested on BTC /USDT pair on 5 minute timeframe. I am planning to expand this strategy in the future to include more moving averages and filters.
Informacje o Wersji: fixed a misleading comment
Informacje o Wersji: new parameters:
  • Apply kNN filter - if you want to try just the MA crossing without the kNN filter
  • kNN minimum difference - skews the number of votes needed for the decision, so this many more votes are needed to allow taking a position (e.g., if this is 1, the position would not be taken if there are 3 agains 3 votes, but would be taken if there are 4 agains 3 votes)

Skrypt open-source

Zgodnie z prawdziwym duchem TradingView, autor tego skryptu opublikował go jako open-source, aby traderzy mogli go zrozumieć i zweryfikować. Brawo dla autora! Możesz używać go za darmo, ale ponowne wykorzystanie tego kodu w publikacji jest regulowane przez Dobre Praktyki. Możesz go oznaczyć jako ulubione, aby użyć go na wykresie.

Chcesz użyć tego skryptu na wykresie?