I'm usually not the one complaining about the quality of the content, but this one doesn't fit the sub. Have a look at https://www.reddit.com/r/algorithmictrading/. Long story short: it's not that simple :-)

Top 10 jokes you can tell your data science friends

Obviously, if there is one, it uses expensive proprietary data as input and is an exceedingly valuable asset that will not be accessible to laypeople. Alternatively, if one was accessible, it would quickly be used by so many people that it would stop predicting the next price through a process called "alpha decay" or arbitraging-away.

So the answer to your question is no. Besides, the nexy minute is a smidge too long for order book data to provide valuable input, and too short for external data to affect the price, so you ask about predicting noise which will be hard in my opinion.

what is this amateur hour?

The short answer is no.

I kind of have the feeling that these stock market system, especially those for extremely short time windows are the perpetuum mobile of the ML world. Everyone initially thinks it's a great idea (heck it's a money printer but ML) has a basic idea of how it could work, tries it and then fails.And there is an excellent reason why it fails. Short-term stock market data is probably the noisiest data you can get, which is a death sentence to any model that tries to work with it continuously and reliably.

STOP TRYING TO BUILD MONEY PRINTING MACHINES WITH ML IT IS NOT GONNA HAPPEN!

I build you one for 10 million dollars. Payment is upfront. It'll have a guaranteed prediction rate of almost 50%! So almost every second trade you execute, you will make profit!!! You just need to figure out which of the two trades is the profitable one.

But wait! I build you another model that can even predict that with an accuracy of almost 50%. Also upfront payment required.

You know what?

I'll discount you both models by 20% so you save a lot of money ordering both at once!

Highspeed algoritmic trading is already running most of the tradevolume. I believe it will be very hard to use machine learning on this data unless you sit in the nexus between trades and can algotrade in the interim between when a buyer sends his order and the sellers accepts. There are «clearinghouses» in between who has better access to realtime data than ordinary endusers, so you will always loose. They make their money on both ends of the trade, from the seller and the buyer, plus can do multiple trades in between.

But perhaps take a look at sentiment analysis. A few years back someone made code that based their automatic trades on Trump tweets.

World events / news can cause massive shifts in stock value, which might be tradeable.

I'd like to have one too 😀.

Do you think thatr if there was one it would be published?

There are two AI models as far as I know that have been proven over the years: First is called Warren Buffett. Second one is Nancy Pelosi.

Both have better than index returns

There’s a coin flip model, but it only has 50% accuracy.

Or you can use legendary titan of Wall Street Michael Reeves - state of the art FISH system that beat major hedge funds and the S&P500.

A week is not enough dude, try a few more days and maybe you will beat the market! Tip on how you can beat 99% of the people who do ML for the stock market: search for extrapolation with machine learning, and then search how well it works. You can try "how well does extrapolation work with machine learning". If you feel lazy you can ask ChatGPT.

Youve been looking for a week, ive been trying to create such a model for 2 years, still nothing.