Deep Signal Library

Note:  The AddDSTInstrument method has two overrides. The min and max parameters are optional and are used when normalizing the data before creating a new machine learning model. Normalizing the data is the process of setting all of the data values to values between 0 and 1 before feeding the data set to the machine learning model. By default these values will be set to 0 for the minimum and double the maximum value found in the training data set if min and max is not used. 

The min and max can be modified if you feel that the maximum value may be more than double the maximum value from the training set. As an example, if you trained the model based on the Close value for an instrument from 2000-2005 the maximum for the Close was $118.00 then we will use $236.00 for the default maximum. If we are running the strategy live we still normalize the data before sending the values to the model. If the current Close is 300, then when we normalize the data, the normalized value will always be 1 since it is more than the expected maximum of $236 and the model may not perform as expected.

The AddDSTInstrument with min and max is only available when creating a new machine learning model and for strategies that are derived from DSTCreateModelBase

Warning: This method should ONLY be called within the OnStateChange() method during State.Configure

instrumentTickerSymbol

A string value representing the ticker symbol of the instrument, for example "AAPL".

min

A double value representing the minimum value for the series found before training the machine learning model. By default this value is set to 0 when creating the machine learning model.

max

A double value representing the maximum value for the series when training the machine learning model. By default, this value is set to double the value found in the data set before training the model. As an example, if we created a machine learning model for the instrument AAPL for the time period of 1/1/10 through 1/1/15 and the highest value we found for this time period was $200.00 then we'll use $400.00 for the default maximum value. If we are running live and the current Close values for AAPL were above $400 then we would need to retrain the model using a higher maximum value for the model to give correct predictable long or short signals.

Adding indicator data to a machine learning model

protected override void OnStateChange()
{   

  // Please do not change, the DST Library will need to call OnStateChange

  base.OnStateChange();   

  if (State == State.Configure)
  {
    // AddDSTInstrument adds any instrument series that you want to use in training a machine learning model

    AddDSTInstrument("AAPL");
  }
}

Adding indicator data to machine learning model with min and max parameters

protected override void OnStateChange()
{
  // Please do not change, the DST Library will need to call OnStateChange

  base.OnStateChange();   

  if (State == State.Configure)
  {
    // AddDSTInstrument adds any instrument series that you want to use in training a machine learning model

    // The example below will set the min value to 0 and max value will be set to 1,000

    AddDSTInstrument("AAPL", 0, 1000);
  }
}