I am working on time-series classification problem using Convolutional Neural Networks in Python. The data-set used is financial stock market data (like yahoo finance). I am using some technical indicators calculated using raw values high, low, volume, open, close.
One of the technical indicators is MACD (Moving Average Convergence Divergence) using TA Library. However, it is written, in most places, that it is calculated for
n_fast = 12 and
n_slow = 26 periods (considering trading period to be 6 days which is 5 days in our case) with RSI (Relative Strength Index) being calculated for 14 days and
n_sign = 9 (parameter of
macd_diff() in TA library).
So, if I am calculating RSI for 5 days analysis period (with 5 days trading period) then how do we set these
n_slow values according to it? Should these be
n_fast = 3 and
n_slow = 8. Also, what should be the value of