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Abstract
Currently, algorithmic trading systems are one of the biggest challenges for machine learning (ML) and artificial intelligence (AI). In this article, an AI model is proposed using predictor variables based on trend-following momentum indicators. Using a data sample of highly traded futures contracts and their technical indicators, the results show a predictive capacity greater than 50% of the market trend of the next session. However, ML did not allow a profitable algorithmic trading system during the testing process.
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