Trading via Image Classification

The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms, all relying primarily on aspects of time-series analysis (e.g., Murphy, 1999; De Prado, 2018; Tsay, 2005). After visiting the trading floor of a leading financial institution, we noticed that traders always execute their trade orders while observing images of financial time-series on their screens. In this work, we build upon image recognition's success (e.g., Krizhevsky et al., 2012; Szegedy et al., 2015; Zeiler and Fergus, 2014; Wang et al., 2017; Koch et al., 2015; LeCun et al., 2015) and examine the value of transforming the traditional time-series analysis to that of image classification. We create a large sample of financial time-series images encoded as candlestick (Box and Whisker) charts and label the samples following three algebraically-defined binary trade strategies (Murphy, 1999). Using the images, we train over a dozen machine-learning classification models and find that the algorithms efficiently recover the complicated, multiscale label-generating rules when the data is visually represented. We suggest that the transformation of continuous numeric time-series classification problem to a vision problem is useful for recovering signals typical of technical analysis.

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