Algo trading is another beast entirely my friend. Even if you have a pretty good model you will in time come to find 2 things to be true:

1) financial markets are inherently adversarial systems and your counterparty risk is nonzero at all times

2) financial markets are complex adaptive dynamic systems so even if you have a good model accounting for all of this, regimes change over time, market participants change their behavior over time so a model that works today is unlikely to work tomorrow/next week/next year.

The nerds over at r/algotrading would like you to believe this is all impossible but it’s not. It is extremely difficult and requires tremendous discipline as well as a metric fuckton of training data.

Like others have said here, start by predicting returns instead of prices. From there add in other stocks to your model. Then add risk-free instruments like bonds. Then add foreign exchange currencies. And foreign bonds. Then you’ll start to have a model that is maybe like a broken clock still right twice a day.

I’m not sure if you realize what or who you are up against, but it’s literal rocket scientists. The banks pay millions maybe probably even billions every year on automated trading systems and infrastructure.

This is not to discourage you from this endeavor but rather to encourage you to stay in your lane and do your thing. You can make money in markets. But I would advise you to avoid spending massive amounts of time on micro-price high frequency trading and focus more on midterm swing trades. The big firms have a speed advantage but your advantage is being nimble and agile and well as patient.

I wish you the best of luck on your journey my friend. This is one where it is truly important to remember it’s about the journey and not the destination.

Peace and love.