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Kris Skrinak, Igor Alekseev, Rumi Olsen
Spark Summit 2020
Seeing Beyond
the Hard Right Edge
Using Deep AutoRegression to
Predict Market Sentiment

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Welcome to the Hard Right Edge!
A common expression in technical analysis for the unknown:
what’s coming tomorrow and beyond.
• Technical analysis can be extremely useful in short-term
decision making.
• Problems arise when attempting prediction
Nube antipatterns:
• Trying to predict prices rather than conditions
• Thinking of price prediction as a physics problem
Instead, look at the chart as a description of behavior.
* Nothing in this presentation contains investment advice. We propose a metaphor for regarding the market
as a conversation between 2 participants. Always check with your registered financial advisor before making
personal investment decisions.

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Behavioral Economics
What does a chart say about market
participants?
• There are always only 2 sides on every
trade
• There are only 2 choices: buy or sell
• Choosing not to buy or sell affects prices
For any behavior to occur 3 things have to
happen at the exact same time:
• Ability
• Motivation
• A Trigger

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Markets are Habitual, Not Necessarily Rational
Why do technical indicators work when applied to
behavior?
• People remember prices
• Algorithms remember prices
There’s only one way to make money in markets
• Identify a trend early and stick with it to the end
Trends have characteristics
• They indicate group behavior

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Understanding the Indicators
Think: flying by instruments rather than visual.
• Trendlines
• Support turns to resistance and vice versa
• EMAs: Indicate 2 major trading groups
• Institutions
• Individuals
• Volume: How important is the change
• MACD: Trend strength
• Stochastic: Strength / Fatigue of the dominant trend

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Support and Resistance

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Trendlines

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Exponential Moving Averages

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Moving Average Convergence / Divergence

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Moving Average Convergence / Divergence

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Moving Average Convergence / Divergence

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Moving Average Convergence / Divergence

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Stochastics

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Stochastics

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Stochastics

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Stochastics

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Investment Objective
Detect a trend
Look for confirmations
Enter at the point of least risk

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Timeseries Prediction
Autoregressive Integrated Moving Average (ARIMA)
Non-Parametric Time Series (NPTS)
Exponential Smoothing (ETS)
Prophet
DeepAR+

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SageMaker DeepAR

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Architecture

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Xignite on MarketPlace

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Architecture

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Configure Instance Profile & Role for SageMaker

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Preparing the Dataset

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Creating Hyper Parameters

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Training the Model

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Setting up SageMaker Endpoint

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Predictions

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Demo

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Summary and Guidance
Consider the big dipper

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Summary and Guidance
The market is a conversation

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Thank You!
kris@Skrinak.com
@skrinak