Principal Components of the RSI | Machine Learning Trading Strategy in Python

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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The content covered on this channel is NOT to be considered as any financial or investment advice. Past results are not necessarily indicative of future results. This content is purely for education/entertainment.

[matthiaswiedemann]

Great video! Maybe make something about Monte Carlo Tree Search as well one day. One indicator with different lags for PCA is a super idea 😀

[cadebruce]

how do you think about doing this versus simply ridge regression with all the lookbacks? It should be fairly similar, no?

[MrBhavishya]

Please create more video we like to watch new concept .

[SliverHell]

Would love to know if you use any semi-supervised techniques for a group of the same indicator, with different windows? Such as NCA?

[poisonza]

imo, smoothing is quite nice! great job.
pca and other stuff is quite common.



* extreme values offer predictive power...
true in this case(rsi). but for some indicator its just lack of sample and perhaps luck so we never know...

[yaseenkc]

Great presentarion brother


Why dont you prefer doing the modelling in a rolling method …instead of training for 2 years data and predicting for next 1 year and then again training with latest 2 year data ..why dont you prefer doing it in a continous way..any reason

Would love to hear your reason about this

[mozkhiyar]

Borther another great video❤️❤️.
First thing i do when i get my paycheck is the Patreon ong 😅😂

[henrykim]

Could you please give any references of this video? except for just definitions of tools you used in this video.

[jan]

Wow. I can’t believe you shared the whole code for this for free. You should work on Wall Street in a big quant fund. And hopefully run your own fund one day. I am not a crazy expert, but I think the stuff you do is top notch quality compared to most other stuff I have watched on YouTube, or seem in books. I think you have great market intuition and great quantitative skills. Hoping for more content. 🙏

[andreasklippinge]

Would be interesting to implement this model on z-score or pure volatility. Great video!

[CS_nb]

Isn’t it bad practice to use the test data for so many different model parameter combinations?

[martinsandor]

Great in-depth explanation for the theory behind basic machine learning models! However, checking the timeframe used to train and test the model shows how doing a simple buyhold would have yielded much more profit than the model you trained here. While using such extreme quantiles ensures that the model would only extremely rarely (if at all) be wrong, the infrequency of the trades make it far from profitable. In what ways do you think the model could be improved, if we wanted to make it more profitable?

[cuteandfunny]

what major did you take? im asking cuz im kinda lost rn in my 2nd year of studies

[lordfinesse]

I know some c++ basic coding. What should I read to be able to understand the concepts? Like vectors etc?

[jonahkeller]

How could one go about automating this system to take future trades? How long do you hold or short the position till? What indication is given by the strategy to sell? Also, I think the eigenvalue plots may be dependent on the sample size, not necessarily reflective of the actual data. I replicated your code with Ford trading data and got very similar (identical) eigenvalue plots.

[ademolaorolu]

This is a great one!. Thank you. By the way, if you have an academy or tutoring class, I will love to be a memeber.

[ronaldkilbert]

I love you, I’d be nothing without people like you. 😂❤️‍🔥

[saeedrahman]

Thanks for the content. Just out of curiosity, what motivates you to share this information ?

[sarkash]

Best.. which time period of RSi is good

[favian]

Is there a quick and dirty way of knowing how much correlation is enough correlation to use this method? Expanding on this example, based on some data I saw the RSI 250 has a 0.18 correlation with the RSI 3. Would this also be sufficient to PCA? I would guess yes, and just play with the number of components.

Really appreciate the content by the way. Been going through the vids, and ordered some of the recommended books.