Also, you have only considered the closing price of the resampled tick bars of 10 Min interval. Which can give some true negatives, i.e. that the high price during the 10 min interval may hit you upper barrier or the low may hit the lower barrier but the signal label will be produced as 0, just because of the close price hit neither of the upper or lower barriers. This could result in some painful trades.
Hi, thanks for reading! Of course I could do much more and try different options, but this blog post aims first of all to show to the audience alternative possibilities and some primary empirical evidence of their usefulness. This is not a complete guide on how to trade and make a lot of money :)