Better than simple Gaussian Approximation? #2
Description
Hi Siraj,
I've experimented with RNN/NN/CNN/.. and crypto price predictions in the past and most of the time these models just learned the global statistical distribution of the dataset, because in the short term the random walk model only applies and nothing more.
To illustrate this, I build a simple python script which just samples the Data according to a Gaussian distribution and pulls some samples from it to evaluate this simple price prediction Model.
The result is that this simple "Model" has a similar (in the interval of mean+2*std) Precision,Recall and F1 Score as the RNN with just the Price as Input and nothing else.
Best regards,
Julien
Result Simple Gaussian Model:
Mean Precision: 0.5823 | Mean Recall: 0.5561 | Mean F1 Score: 0.5686
STD Precision: 0.0227 | STD Recall: 0.0348 | STD F1 Score: 0.0266