I will never understand why one would use proper ML techniques like NN, SVM, etc. and then plug in technical analysis input.If you want your tool to dig out some signal, why obscure the signal first? or is it a part of some sort of complex genetic algorithm with predator/prey/survival of fittest?On the serious note, SVM is convex optimization tool - works well on many problems, but not all problems are convex - hence, need for ANN and even more complex things.Anyway, myy 5cents: 1) plug in raw signal, 2) tune your algo of choice in different ways (optimize cost matrix, find optimal transformation of data etc..), 3) do not use reinforcement learning for this, can resort to some simple planning problems if needed, but chances are - you don't need it (optimizing cost matrix may be sufficient) - reason is: you are dealing with a model that you can afford to fully train offline.
Last edited by yuryr
on March 12th, 2012, 11:00 pm, edited 1 time in total.