README.md

---
title: Gamedayspx
emoji: 📊
colorFrom: pink
colorTo: purple
sdk: streamlit
sdk_version: 1.21.0
app_file: app.py
pinned: false
---

# TL;DR on WTF
- The purpose of this project is to predict whether the current day's close will be above the previous day's close (`Target`).
- Predictions are produced through generalized stacking of an ensemble of 2 models.
- 4 different flavors 🍧 are currently available: At Open, 30 / 60 / 90 minutes into trading session.
- Using probabilities outside of `(0.4, 0.6]` results in `precision` in 0.7 - 0.8 range.
- Model validated with walk forward validation. 

# Features for `🌞 At Open`
- `BigNewsDay`: This feature represents whether the current day is a "big news day", eg. NFP, CPI, PPI, CPE, etc. 
- `Quarter`: The current quarter as of previous day (Q1,Q2,Q3,Q4) 
- `Perf5Day`: Whether the previous day's close is higher than it was 5 days earlier.
- `Perf5Day_n1`: Previous value of 👆🏽
- `DaysGreen`: Consecutive number of days green (close > previous close), as of the previous day.
- `DaysRed`: Consecutive number of days red (close <= previous close), as of the previous day.
- `CurrentGap`: The current day's gap as a percentage of the previous close, or (Open - Previous close) / Previous Close
- `RangePct`: The previous day's range as a percent of the prior day's close.
- `RangePct_n1`: Previous value of 👆🏽
- `RangePct_n2`: Previous value of 👆🏽
- `OHLC4_VIX`: The previous day's OHLC4 of VIX.
- `OHLC4_VIX_n1`: Previous value of 👆🏽
- `OHLC4_VIX_n2`: Previous value of 👆🏽

# Additional Features for `30 Min` and `60 Min` models
- `CurrentHightoClose`: High of 30/60 Min candles in relation to previous close.
- `CurrentLowtoClose`: Low of 30/60 Min candles in relation to previous close.
- `CurrentClosetoClose`: Close of 30/60 Min candles in relation to previous close.
- `CurrentRange`: High - Low of 30/60 Min candles in relation to previous close.
- `GapFill`: Whether the CurrentGap was filled within the first 30/60 minutes.