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README.md
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- Using probabilities outside of `(0.4, 0.6]` results in `precision` in 0.7 - 0.8 range.
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- Model validated with walk forward validation.
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# Features
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- `BigNewsDay`: This feature represents whether the current day is a "big news day", eg. NFP, CPI, PPI, CPE, etc.
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- `Quarter`: The current quarter as of previous day (Q1,Q2,Q3,Q4)
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- `Perf5Day`: Whether the previous day's close is higher than it was 5 days earlier.
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- `OHLC4_VIX`: The previous day's OHLC4 of VIX.
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- `OHLC4_VIX_n1`: Previous value of ππ½
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- `OHLC4_VIX_n2`: Previous value of ππ½
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- Using probabilities outside of `(0.4, 0.6]` results in `precision` in 0.7 - 0.8 range.
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- Model validated with walk forward validation.
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# Features for `π At Open`
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- `BigNewsDay`: This feature represents whether the current day is a "big news day", eg. NFP, CPI, PPI, CPE, etc.
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- `Quarter`: The current quarter as of previous day (Q1,Q2,Q3,Q4)
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- `Perf5Day`: Whether the previous day's close is higher than it was 5 days earlier.
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- `OHLC4_VIX`: The previous day's OHLC4 of VIX.
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- `OHLC4_VIX_n1`: Previous value of ππ½
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- `OHLC4_VIX_n2`: Previous value of ππ½
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# Additional Features for `30 Min` and `60 Min` models
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- `CurrentHightoClose`: High of 30/60 Min candles in relation to previous close.
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- `CurrentLowtoClose`: Low of 30/60 Min candles in relation to previous close.
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- `CurrentClosetoClose`: Close of 30/60 Min candles in relation to previous close.
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- `CurrentRange`: High - Low of 30/60 Min candles in relation to previous close.
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- `GapFill`: Whether the CurrentGap was filled within the first 30/60 minutes.
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