Forecasting Bitcoin (BTC) with Machine Learning

In summary: The predicted price values are compared with the real values present in the test dataset. By calculating the MAE (Mean Absolute Error), I get a very high value. I would like to understand if the problem is how I set the model or for some other reason.I ask to anyone who is familiar with Machine Learning and Big Data to examine my Jupyter Notebook and tell me what he thinks.Ah, you assume a 'Mature Bourse'.Go for it...
  • #1
BRN
108
10
Hi everyone,
I apologize to the mod if I posted in the wrong section.

For my exam of Machine Learning, I would like to implement a part of the work presented in this paper. In this work, the authors used two ML methods in cascade for forecasting Bitcoin. Starting from the initial data, they predicted the five main BTC indicators via SVR (Support Vector Regression) and the latter were then the inputs used to predict the price of Bitcoin via LSTMNN (Long Short Term Memory Neural Networks).

There are two things that I don't understand:
  • Starting with a dataset of about 2600 rows, 80% of them are used for Trainig and only 20% for the prediction coming out of SVR. This data are ulteriorly separated by incoming in LSTMNN and follows that the prediction in this stage is made on a truly reduced sample compared to the starting one. It's not a problem?
  • If the input to LSTMNN are only the indicator predicted by SVR, how is it possible to forecasting the price of the BTCs? At this stage there is only the X matrix of the indicators, but there is not price vector...

Can anyone clarify my ideas?

Thanks so much!
 
Technology news on Phys.org
  • #2
Create an artificial market have 30 to 40 simulated miners and sellers, have that market resemble how BTC has been doing, teach the Algorithm Off of that, introduce it to the real BTC market and continue to train it once the First Bit of training with the simulated market has been finished,
 
  • #3
Superintendent said:
Create an artificial market have 30 to 40 simulated miners and sellers, have that market resemble how BTC has been doing, teach the Algorithm Off of that, introduce it to the real BTC market and continue to train it once the First Bit of training with the simulated market has been finished,
Thanks for the reply.

Ok, I tried to implement it. Through SVR model, I predict the technical indicators which, once inserted in LSTM model, providing the price of the BTCs. Everything works, but the results are really bad ...

The code is too long to post it here, but here there are my Jupyter notebook and the dataset file.

If someone could give me some advice on how to improve it / correct it, I would be really grateful.

Thanks so much!
 
  • #4
BRN said:
Thanks for the reply.

Ok, I tried to implement it. Through SVR model, I predict the technical indicators which, once inserted in LSTM model, providing the price of the BTCs. Everything works, but the results are really bad ...

The code is too long to post it here, but here there are my Jupyter notebook and the dataset file.

If someone could give me some advice on how to improve it / correct it, I would be really grateful.

Thanks so much!
Sorry, i am not that good in the aspects of Machine learning, just thought of that during school and i thought i should share the information to you
 
  • #5
Beware: 'Real Life' may totally trump logical predictions.
IIRC, Bitcoin value tumbled this morning as eg Russian miners 'cashed in', perhaps fearing financial sanctions following trouble along Ukraine's borders...

May be a 'Pump & Dump' ploy, may simply be 'Duck & Cover'...

Like the many TV ads for 'Gold Bullion', too many bit-coin mining proponents fail to mention that value of investment may go down as well as up. Worse, if playing with 'futures', your investment may be wiped out, and leave you with significant debts...

Due Care, Please ??
 
  • Like
Likes valenumr and Tom.G
  • #6
I don't have to invest money in BTCs. As I have already specified in my first post, I just have to present a project for an exam.

The predicted price values are compared with the real values present in the test dataset. By calculating the MAE (Mean Absolute Error), I get a very high value. I would like to understand if the problem is how I set the model or for some other reason.

I ask to anyone who is familiar with Machine Learning and Big Data to examine my Jupyter Notebook and tell me what he thinks.
 
  • #7
Ah, you assume a 'Mature Bourse'.
Go for it...
 
  • Haha
Likes Tom.G
  • #8
BRN said:
The predicted price values are compared with the real values present in the test dataset. By calculating the MAE (Mean Absolute Error), I get a very high value.
Ahh! I see you are rapidly learning the vagaries of Bitcoin.

It is a bit like the Stock Market combined with a late-nite Infomercial*, but without the U.S. Securities and Exchange Commission to keep an eye on it.

(At least you are learning Economics without going broke. :wink:)

I rather liked @Nik_2213 's reply above:
Nik_2213 said:
Beware: 'Real Life' may totally trump logical predictions.

* in·fo·mer·cial
/ˈinfōˌmərSH(ə)l/

noun
a television program that promotes a product in an informative and supposedly objective way.
 
  • Like
Likes Nik_2213
  • #9
BRN said:
I don't have to invest money in BTCs. As I have already specified in my first post, I just have to present a project for an exam.

The predicted price values are compared with the real values present in the test dataset. By calculating the MAE (Mean Absolute Error), I get a very high value. I would like to understand if the problem is how I set the model or for some other reason.

I ask to anyone who is familiar with Machine Learning and Big Data to examine my Jupyter Notebook and tell me what he thinks.
Humans are irrational. Especially in crypto these days. I would be highly impressed by an AI that could accurately predict crypto price trends.
 
  • #10
valenumr said:
Humans are irrational. Especially in crypto these days. I would be highly impressed by an AI that could accurately predict crypto price trends.
Yeah, AI that could accurately predict price trends in pretty much anything would make its creator exceptionally wealthy.
 
  • #11
Maybe I explained myself wrong.

I don't want an AI who is able to predict the price of the BTCs accurately. I don't have to invest in Crypto. This is just a project to be presented for my ML exam. I chose this topic because I don't want to present the usual project that generally most of the students of the course present (image recognition, sub-particles analysis, etc.). I want to present something different.

I started from this article where the authors say that the two models in cascade SVR+LSTM return a better result than the single one LSTM. Well, from how I implemented it, this result doesn't happen. For this reason I ask someone to look at my code and give me an opinion of it.

  • Is my code correct?
  • Is it correct to put SVR and LSTM in cascade in this way?
  • Is it right to make LSTM training with all the data available?
  • Did I overfitting?
  • Does not implement a Montecarlo system to estimate LSTM hyperparameters is relevant?
  • and so on...

All these questions are technical questions and no matter whether they are related to a model that manipulates crypto data, sub-particles data, potatoes or other.

If you don't believe that I should take an exam, I can't do anything. Where I live, in the universities the exams are made to obtain a degree.

I didn't think I had to clash even against prejudices...
 
  • #12
Just a quick starting question - is your code attempting to compute the exact same technical predictors, fit the exact same model, and using the exact same training and test data?
 
  • #13
BRN said:
The predicted price values are compared with the real values present in the test dataset. By calculating the MAE (Mean Absolute Error), I get a very high value
I think you should only look at relative errors for bitcoins, or share or commmodity prices. A 1% error should be weighted the same when bitcoin is at 1$ as when it is at 10000$
 
  • Like
Likes Tom.G
  • #14
Office_Shredder said:
Just a quick starting question - is your code attempting to compute the exact same technical predictors, fit the exact same model, and using the exact same training and test data?
The technical predictors are the same used by the authors of the article. I also tried to add others: MACDS, MACDH and ROI, but the result does not change.
My dataset is more updated, but I tried to use the data of the same period indicated in the article and I always get that LSTM works better than SVR + LSTM.
No I have idea of how the authors have implemented the SVR+LSTM model, because on this stage, they have not been very detailed in the description. For this reason I am asking your opinions here. I just know that my code is OK. The only difference I know is that I have not implemented a Montecarlo method to estimate LSTM hyperparameters.

willem2 said:
I think you should only look at relative errors for bitcoins, or share or commmodity prices. A 1% error should be weighted the same when bitcoin is at 1$ as when it is at 10000$

I use the Mean Absolute Error because in the article it is used, but I can also use the Relative one. I don't think it's a problem.
 

1. How accurate is machine learning in forecasting Bitcoin?

The accuracy of machine learning in forecasting Bitcoin depends on various factors, such as the quality of data used, the complexity of the model, and the time frame of the forecast. Generally, machine learning models can achieve an accuracy of around 70-80%, but this can vary depending on the specific approach and data used.

2. Which machine learning algorithms are commonly used for Bitcoin forecasting?

Some of the commonly used machine learning algorithms for Bitcoin forecasting include linear regression, ARIMA, LSTM, and random forest. Each of these algorithms has its own strengths and weaknesses, and the choice of algorithm depends on the specific goals and data available.

3. Can machine learning predict the price of Bitcoin accurately?

While machine learning can provide insights and predictions about the future price of Bitcoin, it is not a foolproof method for accurate price prediction. Bitcoin is a highly volatile and complex asset, and its price can be influenced by various factors beyond historical data. Therefore, machine learning can provide helpful insights, but it should not be relied upon as the sole source of price prediction.

4. How does machine learning handle the unpredictability of Bitcoin?

Machine learning models can handle the unpredictability of Bitcoin by continuously learning and adapting to new data. This means that as new data becomes available, the model can adjust its parameters and make more accurate predictions. Additionally, some machine learning algorithms, such as LSTM, are designed to handle time series data with high volatility and non-linear patterns.

5. What are some limitations of using machine learning for Bitcoin forecasting?

Some limitations of using machine learning for Bitcoin forecasting include the reliance on historical data, the potential for overfitting, and the inability to account for external factors and events. Machine learning models also require a significant amount of data to train and can be computationally expensive, making it challenging to use for real-time forecasting.

Similar threads

What are the Limitations of Machine Learning in Causal Analysis?
    • Programming and Computer Science
2
Replies
63
Views
9K
Courses Which of these Machine Learning courses should I attend?
    • STEM Academic Advising
Replies
5
Views
845
Programs I chose math instead of physics. Was it a mistake?
    • STEM Academic Advising
Replies
9
Views
1K
I Optimization problem with multiple outputs: impossible?
    • General Math
Replies
6
Views
1K
Requesting suggestions for languages, libraries, and architectures for parallel (and sometimes non parallel) numerical and scientific computations
    • Programming and Computer Science
Replies
8
Views
2K
Current and Future AI Threats to Humanity and the Human Response
    • Computing and Technology
Replies
10
Views
2K
Other 2 years for MS Eng or Longer for MS Physics? Science Entrepreneur Qs
    • STEM Academic Advising
Replies
3
Views
967
How Does Solid Hydrogen Impact Our Understanding of Cosmology?
    • Cosmology
Replies
5
Views
3K

Hot Threads

Recent Insights

Back
Top