Deep Learning for Price Movement Prediction Using Convolutional Neural Network and Long Short-Term Memory

Table 1

Description of selected technical indicators and deterministic signals.

Name of indicators	Formulas	Rules for deterministic trend signals
Simple moving average		If , label “1”; otherwise, label “0”
Weight moving average		If , label “1”; otherwise, label “0”
Momentum	=  −	If , label “1”; otherwise, label “0”
Stochastic K%		If , label “1”; otherwise, label “0”
Stochastic D%		If , label “1”; otherwise, label “0”
Moving average convergence divergence		If , label “1”; otherwise, label “0”
Relative strength index		If or , label “1,” and if or , label “0”
William’s %R		If , label “1”; otherwise, label “0”
Commodity channel index	, ,	If or , label “1,” and if or , label “0”
Accumulation/distribution oscillator		If , label “1”; otherwise, label “0”

, , and denote the close price, low price, and high price at time , respectively; and represent, respectively, lowest low and highest high in the last t days; means upward price change while is the downward price change at time . EMA refers to the exponential moving average, , , and denotes the time period of day exponential moving average.