So I'm studying machine learning using RapidMiner and I'm now focusing on Time Series Prediction.
My son earns some pocket money by trading stocks, forex and futures. He does that with technical analyses of prices.
He looks for an asset that shows a clear trend in conformance of Selecting Forecasting Methods in Data Science.
Then my son zooms in on the M-curves of the latest period. Using support and trendlines he "predicts" the future price of the asset.
My thought was to give him a Machine Learning perspective on his analyses.
So I looked at Oil Futures and build a process model on it, based on the daily "Last" values. The model looks like this:
In the upper left I have implemented 3 RapidMiner Macros:
- %{AnalysesDateFrom}: From where to pick up the "wave to surf" trend like my son is doing.
- %{PredictionDateFrom}: This is my "hold off" parameter. I train the model to this date. I let the model predict from this date.
- %{PredictionHorizon}: It sets the Horizon parameters in the Windowing operator, in the Sliding Window Validation operator and in the Forecasting Performance operator implemented in the subprocess of the Sliding Window Validation operator so all operators work with the same Horizon.
When I run the model with %{AnalysesDateFrom} = "Feb 10, 2016", %{PredictionHorizon}=10 and %{PredictionDateFrom}="Aug 28, 2017" (last month) the model returns a prediction_trend_accuracy: 0.625 +/- 0.099 (mikro: 0.625). For what this accuracy figure is worth, I know that value prediction is "slippery ice", I'm therefore more interested in trends.
My question is related to the next graph in which I have plotted the prediction together with the real "Last" values.
This plot clearly shows that the trend of the prediction is in conformance of the trend of the real "Last" values.
What I don't understand is that the prediction and the real "Last" values are "in phase" which each other. I would expect a phase shift between both lines, a phase shift equivalent to the Prediction Horizon. That phase shift is not visible. What am I doing wrong here?
The only explanation I can think of for the absence of a phase shift is that the value of an asset in a moment in time is the best indication of the future value of this asset. In other words: the current value of an asset incorporates already future values of this asset. That would explain that the lines of real values and the prediction values are in sync with each other. But I am not sure so I would like to receive an expert opinion on this.
