I’m trying to understand the data of the challenge. Actually I still don’t understand what is the return. In the video at 3:05 it is said that it indicates wether or not the price increased during the next 5 minutes.
Well actually it could have make sense but when plotting the graph with the data, here is what I get:
- return = -1 --> red dot
- return = 1 --> green dot
- return = 0 --> blue dot
So actually you can see red dots while the price actually increases over the next 5 minutes and green dots while the price actually decreases over the last 5 minutes. In the same manner if we assume that the return actually indicates the direction of the price over the last 5 minutes… it doesn’t work…
So, I don’t understand… What is the meaning of the return ?
Note: for reproductibility purpose, here is a piece of code that will plot the same graph:
import pandas as pd df = pd.read_csv('data/training_input.csv', sep=';') X = np.array(df.iloc[0, 3:57]) classes = np.array(df.iloc[0, 57:111]) plt.figure(figsize=(15,10)) plt.plot(X) plt.scatter(np.where(classes == 1), X[classes==1], c='g', s=50) plt.scatter(np.where(classes == -1), X[classes==-1], c='r', s=50) plt.scatter(np.where(classes == 0), X[classes==0], c='b', s=50) plt.show()