Decision time. After considering lots of options, here’s the plan. I intend to trade manually (not via a bot) and for that to be doable I think the shortest timeframe that makes sense is 6 hour. So, check the prices and the models four times a day.
Whatever I decide to trade, use XGBoost to generate signals, where the target is a profit over the following five days. So cumulative return over the next 20 periods is greater than some threshold, at some point. State will be as much input related to the instrument as I can find, that has some predictive capability.
Check the output of this model using an RL model that uses any non-endogenous data that I can dream up, using returns from the first model as rewards. Basically keep adding stuff until I get some result. Once that happens I’ll start trading a small amount. Long only. Probably on Binance. So, time to start putting all this together. Rubber hits the road. Almost.