Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators

Financial Innovation

Table 11 Hybrid model: three-days-ahead predictions

Iterations		Hybrid model-modification based on ME_LSTM		Hybrid model-modification based on TI_LSTM
ME_LSTM	TI_LSTM	profit_accuracy (%)	# of transactions	profit_accuracy (%)	# of transactions
50	50	58.39	137/243	57.66	137/243
50	100	58.71	155/243	56.13	155/243
50	150	61.60	125/243	61.60	125/243
50	200	94.74	21/243	95.00	21/243
100	50	76.06	71/243	71.83	71/243
100	100	69.41	85/243	70.59	85/243
100	150	79.37	63/243	80.95	63/243
100	200	100.00	2/243	100.00	2/243
150	50	67.44	86/243	70.93	86/243
150	100	70.80	113/243	74.34	113/243
150	150	69.79	96/243	73.96	96/243
150	200	95.00	43/243	95.00	43/243
200	50	77.78	9/243	75.00	9/243
200	100	84.62	13/243	84.62	13/243
200	150	100.00	9/243	100.00	9/243
200	200	100.00	14/243	100.00	14/243
Average		78.98	65.13/243	79.23	65.13/243