JannyKul

WT in the paper leaks info

13

Hey Timothy, I added a comment on [DeepLearning_Financial](https://github.com/mlpanda/DeepLearning_Financial/issues/3) too about this and tried to expand [here](https://medium.com/@janny_kul/can-lstm-wt-sae-get-us-to-82-5-annual-returns-on-the-dow-89cd7637eb65?source=friends_link&sk=60c47387ad26b7995d226d0e5f997784). There's no other way they get to the results they do. Interested about your...

pretty sure the results in the paper are because WT leaks future info

4

I tried implementing this too. 99% certain their implementation has the Wavelet transform leaking info. If you just do LSTM on daily close_price your odds are slightly better than a...