Tips and Tricks for Good Ensemble methods in Time Series Forecasting?

09 September 2018 1 10K Report

I am trying to do a forecast on time series on cryptocurrencies (Close price). I have tried various models like ARIMA, SVM, RNN-LSTM, Holtwinters, TBATS, Regression etc but could not get a very strong model which satisfies all error measures equally. I am trying to create an ensemble method and seeking some tips/insights from experienced time series gurus for creating an optimized ensemble model

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