Custom indicators for use in predictive models

I work with a couple of AI / machine learning PhDs, we're currently adapting their models to the crypto markets. These markets seem to be young and fairly inefficient, one model we're focusing on is producing very interesting backtesting results. Here are the results for anyone that's interested: https://www.mediafire.com/?57qzdvn71rqaacl

The model in question is based on recurrent neural networks and hawkes processes, the premise of it is to take TA indicators then use machine learning to auto weigh the importance of these indicators to accurately predict the direction of the price into the future. It continuously learns over time and updates its parameters given changing market condition

Currently we're using TA-lib, a python library of 150 TA indicators as the models inputs. It seems to be quite good at investing at early stages of pumps, however it's poor at predicting price reversals ie knowing when sell. Obviously this isn't something trivial, events such as dumps can be completely random.

We want to improve the models performance and optimize it to act more efficiently in these markets. One way to do this is to use custom indicators that have been designed to work with specifically with these markets.

One idea I had was to use loan rates on poloniex. It seems these loan rates are much higher for coins before they dump, although they are high at other times as well, by making an indicator from:
a. the LoanOffer rates
b. the amount of active loans

we could feed this into the model to determine if it can find any patterns between how these metrics change with what the price does.

Has anyone had any experience with this ? I'm trying to figure out how the indicator would be programmed. Currently i'm thinking making an oscillator going from the minimum interest rate to the max ( 5% / day on polo). The rate of loans being taken and the amount of loans currently out for loan could also be used in another indicator somehow

This is just one idea I had, if anyone has written other custom indicators they use in these markets and is interested in what we're doing, please feel free to drop me a pm.

Thanks for your time
dave@sheffieldcrypto.com