Optimization Parameters Support Vector Regression using Grid Search Method
Irfan Fadil, Muhammad Agreindra Helmiawan, Yanyan Sofiyan
Abstract
Bitcoin is a cryptocurrency known to have high price fluctuation. Investment depends on price fluctuations which have a high level of risk. Bitcoin investment has these principles. To avoid losses and gain profits, there needs a method that may be used to make forecasts of the price of bitcoin accurately. In this research, Bitcoin price predictions were deployed based on bitcoin price data obtained in the past (Time Series Forecasting) using the method Support Vector Regression. The data retrieved is weekly Bitcoin price data from January 2018 to March 2020. Bitcoin price data is nonlinear, so a kernel is used Radial Basis Function. Meanwhile, the variables of the Support Vector Regression method are optimized using Grid Search Method. The purpose of the research is to determine the accuracy of the Support Vector Regression method by looking at the result of the Mean Absolute Percentage Error value. The research showed that the Mean Absolute Percentage Error value obtained was equal to 10,74 % with parameter value <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$\mathbf{C=5,} \boldsymbol{\varepsilon=0.004}$</tex> , and <tex xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">$\boldsymbol{\gamma=0.07}$</tex> . The Mean Absolute Percentage Error value indicates that the prediction results are categorized as a good prediction.