Sljedećih 5 (od ukupno 6 spomenutih) značajki ulaznih vektora su:
1. x1
Relative Strength Index (RSI)
A technical momentum indicator that compares the magnitude of recent gains to recent losses in an attempt to determine overbought and oversold conditions of an
asset.
RSI=100-[100/(1+RS)]
RS = (Avgerage of x days’ up closes) / (Average of x days’ down closes)
2. x2
Money Flow Index (MFI)
This one measures the strength of money in and out of a security.
Money Flow (MF) = Typical Price * Volume
Money Ratio (MR) = (Positive MF / Negative MF).
MFI = 100 – (100/ (1+MR))
3. x3
Exponential Moving Average (EMA)
This indicator returns the exponential moving average of a field over a given period of time.
EMA = [α *T Close] + [1-α* Y EMA].
Where T is Today’s close and Y is Yesterday’s close.
4. x4
Stochastic Oscillator (SO)
The stochastic oscillator defined as a measure of the difference between the current closing price of a security and its lowest low price, relative to its
highest high price for a given period of time.
%K = [(Close price – Lowest price) / (Highest Price – Lowest Price)] * 100
5. x5
Moving Average Convergence/Divergence (MACD)
This function calculates difference between a short and a long term moving average for a field.
MACD = [0.075*EMA of Closing prices] – [0.15*EMA of closing prices]
Još je dodano:
Signal Line = 0.2*EMA of MACD
Napomene:
1. Bolje je na engleskom da se ne izgubi nešto u prijevodu.
2. 6. nije spomenuta u seminaru, morat ćemo smislit što uzeti (možda Tin zna jer nam je potrebno poznavanje burze i dionica :) ).
3. Treća (x3) mi osobno nije jasna.
4. Svaki x=(x1,x2,x3,x4,x5,x6) reprezentira jednu dionicu (mi ćemo uzeti 10-15 različitih) pa je n=6 i 10<N<15 tj imamo 10 do 15 primjera.
5. Slobodne parametre pogađamo tj namještamo i/ili koristimo PSO.
6. Vremenski raspon: oni su uzeli podatke svake dionice tj tvrtke u vremenskom periodu od 3 godine; jasno mi možemo drugačije npr zanemarit period kad je bila
kriza kao što smo pričali... Uzet neki vremenski period i izračunat potrebne indikatore za svaku dionicu (E TO TREBAMO ZA PRIPREMU!)
Uglavnom, treba odredit vremenski period i odabrat x6 (to se trebamo dogovorit); ja moram sredit PSO i općenito vidjet koje ćemo parametre bez PSO-a al to tek na
kraju kad budem imala sve da ih mogu namjestit.
