I went down that path briefly too. After having trouble getting results, I realized I needed to check the fundamentals. What did it in for me was finally just

I went down that path briefly too. After having trouble getting results, I realized I needed to check the fundamentals. What did it in for me was finally just doing a simple correlation analysis of earlier prices to later prices, and realizing there is NO CORRELATION. I realized, if there's nothing to predict, no amount of ML will magically figure it out for me, no matter how complex the indicator. (I was just looking at single products.. I suppose this may be completely different when considering multiple products and markets and integrating external information like news sources.. not at all saying that ML can't be applied to the stock market, just that it's not nearly as simple as looking at previous prices to predict future prices, as everyone says... the point being, always check basic correlations!)