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I'm playing with machine learning and LSTM. My goal is to learn something new and work with real data. Currently, I'm trying to predict bitcoin price. I have understood the necessity to normalize data, but there is something that I don't get. When I use a scaler like MinMax (or any other scaler as I understand it), I give my train, validation and test sets to the scaler and I get a range of value easiest for tensorflow to work on.

After that, I can train my model and save it for later with model.save.

For this example, let's say that I trained my model on the 2021 (2021-01-01 to 2021-12-31) data for bitcoin price and the minimum price was \$20_000 and maximum was \$50_000.

Now it's 2022 and I got new data and I want to use my model saved last year for predicting the future! Let's say that minimum price here is \$15_000 and maximum \$55_000.

If I load my old model and add my new data (and normalize them) to it, the scaler need to be updated. How can I do that? I only find some basic tutorials with "finish dataset" or temperature prediction but not how to feed my model with new data.

I hope you understand my problem and that you will guide me to a solution. I can share my code if you want more information on my workflow.

Regards.

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Assuming that you have univariate time series representing the evolution (in time) of the price value in a specific time-frame (e.g., 15 minutes, 4 hours, 1 day, etc.), a workaround for your problem would be to compute the first discrete derivative of such data before the training and the prediction phase. Formally, given a sequence $n$ of time-stamped observations:

$$S = \langle p_1,p_2,\ldots,p_n\rangle,$$

where $p_i$ represents the price value of the $i$-th time-frame (of Bitcoin, in your context), its corresponding first dicrete derivative sequence of $n-1$ observations is:

$$S' = \langle p_2 - p_1, p_3 - p_2, \ldots, p_n - p_{n-1}\rangle,$$

where $p_{i+1} - p_i$, for all $1 \le i < n$, represents the quantitative trend of the price action from the $i$-th time-frame to the $(i+1)$-th time-frame.

As an example, consider the following sequence and its corresponding first derivative sequence:

$$S_1 = \langle p_1, p_2, \ldots, p_n \rangle = \langle 10,20,40,60,50,50,20\rangle,$$

$$S_1' = \langle p_2 - p_1, p_3 - p_2, \ldots, p_n - p_{n-1}\rangle = \langle 10,20,20,-10,0,-30\rangle,$$

that could represent a $7$ days monitoring of the price action of Bitcoin in 2021. Observe that $\min(S_1) = 10$ and $\max(S_1) = 60$. Now, consider another sequence with its first derivative form:

$$S_2 = \langle p_1,p_2,\ldots,p_n \rangle = \langle 15,5,30,25,50,80,60 \rangle$$

$$S_2' = \langle p_2 - p_1, p_3 - p_2, \ldots, p_n - p_{n-1}\rangle = \langle -10,25,-5,25,30,-20 \rangle,$$

that could represent a (different) $7$ days monitoring of the price of Bitcon in 2022. Note that, in this case, $\min(S_2) = 5$ and $\max(S_2) = 80$, to follow your scenario.

One issue with such methodology is the loss of information when performing the transformation, but it immediately shows its strengths when facing problems like yours.

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  • $\begingroup$ Ah that's really smart, thank you very much. The data obtained will not be in range (0,1), this is not a problem? For your method to be effective, is there a minimum value number to add each time? Should the number of new values always the same? $\endgroup$
    – Oyabi
    Feb 28, 2022 at 20:05
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    $\begingroup$ The obtained data could be furtherly normalized to any interval, say, [x,y] (e.g., [0,1] using a min-max normalization), and this should not represent any issue. The last two questions are unclear. Could you formulate them better? $\endgroup$
    – Eduard
    Feb 28, 2022 at 21:24
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    $\begingroup$ Ok, say I have one year of data, minute interval (so roughly 60*24*365). With your method, can I add 30 minutes, then 8 days (minute interval) and after that 5 minutes to my model? Or should I always take the same size interval like 30 minutes? $\endgroup$
    – Oyabi
    Feb 28, 2022 at 22:48
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    $\begingroup$ I have never tried the former, but, theoretically, you can use both. Nevertheless, I would suggest you keep the same granularity (i.e., interval, as you called it) between successive time-stamped price values; this makes perfect sense in your domain application. $\endgroup$
    – Eduard
    Feb 28, 2022 at 23:00
  • $\begingroup$ Ok thank you very much I will try your suggestion. Have a nice day! $\endgroup$
    – Oyabi
    Mar 1, 2022 at 0:21

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