【ML Algo trading】 Part V — Raise your trading win rate through feature engineering
From the previous article, we’ve learned several indicators that we can calculate and use to evaluate the performances of your algorithm trading strategies. Given these indicators, we’re able to see how we can further polish our strategy and make it more seemingly profitable. Therefore, let’s work on our features to see how we can improve our machine-learning trading strategy.
There are a few feature engineering techniques that we’re going to use in this series of backtests and it is beneficial to get a big picture of how to apply these techniques. I’m not going to go through these techniques in detail as there are too many capable persons who have done so. Therefore, I’ll be only focusing on backtesting the trading strategies using these techniques and how they can impact the performance of the strategy.
Also, I’m using the algorithm trading script that I built from my previous articles below. So we don’t need to build everything from the scratch.
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