Hi Everyone,

In this strategy, we combine a DSP method with Machine Learning in an attempt to forecast EURJPY prices. We apply Wavelet Decomposition to the EURJPY price data, which gives us multiple components, which we then denoise and forecasting using our SVM. Then, we recombine these altered components to get our aggregate forecast. For those who were at our first Open Algorithmic Trading Meet-up, you may remember this was the second strategy presented, and the video, timestamped for this strategy, can be found here. I've attached the algorithm backtest, but the full writeup can be found here. 

Shile Wen