Research Article Open Access

Predicting Support and Resistance Indicators for Stock Market with Fibonacci Sequence in Long Short-Term Memory

Thambusamy Velmurugan1 and Thiruvalluvan Indhumathy2
  • 1 D.G. Vaishnav College, Chennai, India
  • 2 Chennai-600106, Tamil Nadu India, India

Abstract

Predictive data analytics is a branch of data analytics where models are designed that effectively interpret; anticipate outcomes by analyzing present data to make predictions about future. One of the major attributes for prediction is time and there have been a considerable number of time series analytical models that are used for forecasting. Long Short-Term Memory (LSTM) is a deep learning model which is used as a time series model and this research work had made an attempt to apply Fibonacci sequence for retracement of the support and resistance levels, one of the commonly used trend indicators and used LSTM for predicting those levels. These levels help identify the uptrend or downtrend that decide the buying or holding of shares. For this purpose, datasets from financial sector was taken and split into 80% of training data and 20% of testing data for the analysis. The source of these datasets is Kaggle and each of these dataset has a total of 5021 instances from January 2000 till February 2020. Scaling of data was done, retracement of values using three Fibonacci percentages along with the starting and ending level was applied using the LSTM network. For measuring the accuracy of the model, the Root-Mean-Square Error (RSME) metric was used. The comparison between the error score with the lowest value of the dependent variable determines the level of accuracy which is expected to be less in LSTM model that is to be conformed as a test case.

Journal of Computer Science
Volume 16 No. 10, 2020, 1428-1438

DOI: https://doi.org/10.3844/jcssp.2020.1428.1438

Submitted On: 30 August 2020 Published On: 28 October 2020

How to Cite: Velmurugan, T. & Indhumathy, T. (2020). Predicting Support and Resistance Indicators for Stock Market with Fibonacci Sequence in Long Short-Term Memory. Journal of Computer Science, 16(10), 1428-1438. https://doi.org/10.3844/jcssp.2020.1428.1438

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Keywords

  • Support Value
  • Resistance Value
  • Fibonacci Retracement
  • Long Short-Term Memory
  • Root-Mean-Square Error Metric