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The first step is to collect and preprocess historical market data. This data can include price data, volume data, and other relevant indicators. The data needs to be cleaned and normalized to remove any anomalies or outliers.
One way to do this is to use a data scraping tool or API to collect market data from a reliable source, such as Yahoo Finance or Alpha Vantage. Once the data is collected, it needs to be cleaned and processed using tools such as Pandas and NumPy in Python. This involves removing any missing values, normalizing the data, and scaling it to a uniform range.