While such indicators are okay to use in Project 6, please keep in mind that Project 8 will require that each indicator return one results vector. If you need to use multiple values, consider creating a custom indicator (e.g., my_SMA(12,50), which internally uses SMA(12) and SMA(50) before returning a single results vector). result can be used with your market simulation code to generate the necessary statistics. While Project 6 doesnt need to code the indicators this way, it is required for Project 8, In the Theoretically Optimal Strategy, assume that you can see the future. and has a maximum of 10 pages. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. This Golden_Cross indicator would need to be defined in Project 6 to be used in Project 8. You may not modify or copy code in util.py. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. D) A and C Click the card to flip Definition compare its performance metrics to those of a benchmark. Create a Theoretically optimal strategy if we can see future stock prices. Some may find it useful to work on Part 2 of the assignment before beginning Part 1. Assignments should be submitted to the corresponding assignment submission page in Canvas. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Describe how you created the strategy and any assumptions you had to make to make it work. These commands issued are orders that let us trade the stock over the exchange. However, that solution can be used with several edits for the new requirements. Learn more about bidirectional Unicode characters. You are constrained by the portfolio size and order limits as specified above. Second, you will research and identify five market indicators. The value of momentum can be used an indicator, and can be used as a intuition that future price may follow the inertia. You will not be able to switch indicators in Project 8. You will have access to the data in the ML4T/Data directory but you should use ONLY the API . Your project must be coded in Python 3.6. and run in the Gradescope SUBMISSION environment. For each indicator, you should create a single, compelling chart (with proper title, legend, and axis labels) that illustrates the indicator (you can use sub-plots to showcase different aspects of the indicator). that returns your Georgia Tech user ID as a string in each .py file. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. This framework assumes you have already set up the. If you use an indicator in Project 6 that returns multiple results vectors, we recommend taking an additional step of determining how you might modify the indicator to return one results vector for use in Project 8. You are allowed to use up to two indicators presented and coded in the lectures (SMA, Bollinger Bands, RSI), but the other three will need to come from outside the class material (momentum is allowed to be used). ML4T / manual_strategy / TheoreticallyOptimalStrateg. In the case of such an emergency, please contact the, Complete your assignment using the JDF format, then save your submission as a PDF. More info on the trades data frame below. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. You should implement a function called author() that returns your Georgia Tech user ID as a string in each .py file. When optimized beyond a, threshold, this might generate a BUY and SELL opportunity. Note: The format of this data frame differs from the one developed in a prior project. indicators, including examining how they might later be combined to form trading strategies. You are not allowed to import external data. (The indicator can be described as a mathematical equation or as pseudo-code). You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. Fall 2019 ML4T Project 6. to develop a trading strategy using technical analysis with manually selected indicators. It is usually worthwhile to standardize the resulting values (see, https://en.wikipedia.org/wiki/Standard_score. For each indicator, you will write code that implements each indicator. Ten pages is a maximum, not a target; our recommended per-section lengths intentionally add to less than 10 pages to leave you room to decide where to delve into more detail. You may find our lecture on time series processing, the Technical Analysis video, and the vectorize_me PowerPoint to be helpful. sshariff01 / ManualStrategy.py Last active 3 years ago Star 0 Fork 0 ML4T - Project 6 Raw indicators.py """ Student Name: Shoabe Shariff GT User ID: sshariff3 GT ID: 903272097 """ import pandas as pd import numpy as np import datetime as dt import os Legal values are +1000.0 indicating a BUY of 1000 shares, -1000.0 indicating a SELL of 1000 shares, and 0.0 indicating NOTHING. No credit will be given for coding assignments that do not pass this pre-validation. (up to 3 charts per indicator). Here are the statistics comparing in-sample data: The manual strategy works well for the train period as we were able to tweak the different thresholds like window size, buy and selling threshold for momentum and volatility. Please refer to the Gradescope Instructions for more information. We can calculate Price/SMA (PSMA) values and use them to generated buy or, and above can indicate SELL. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. Citations within the code should be captured as comments. The following textbooks helped me get an A in this course: Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. Bollinger Bands (developed by John Bollinger) is the plot of two bands two sigma away from the simple moving average. PowerPoint to be helpful. Include charts to support each of your answers. Describe the strategy in a way that someone else could evaluate and/or implement it. If you use an indicator in Project 6 that returns multiple results vectors, we recommend taking an additional step of determining how you might modify the indicator to return one results vector for use in Project 8. Cannot retrieve contributors at this time. However, sharing with other current or future, students of CS 7646 is prohibited and subject to being investigated as a, -----do not edit anything above this line---, # this is the function the autograder will call to test your code, # NOTE: orders_file may be a string, or it may be a file object. The approach we're going to take is called Monte Carlo simulation where the idea is to run a simulator over and over again with randomized inputs and to assess the results in aggregate. (-15 points each if not), Does the submitted code indicators.py properly reflect the indicators provided in the report (up to -75 points if not). All work you submit should be your own. Code must not use absolute import statements, such as: from folder_name import TheoreticalOptimalStrategy. Let's call it ManualStrategy which will be based on some rules over our indicators. Watermarked charts may be shared in the dedicated discussion forum mega-thread alone. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. 7 forks Releases No releases published. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Create testproject.py and implement the necessary calls (following each respective API) to indicators.py and TheoreticallyOptimalStrategy.py, with the appropriate parameters to run everything needed for the report in a single Python call. 1 TECHNICAL INDICATORS We will discover five different technical indicators which can be used to gener- ated buy or sell calls for given asset. Are you sure you want to create this branch? If you use an indicator in Project 6 that returns multiple results vectors, we recommend taking an additional step of determining how you might modify the indicator to return one results vector for use in Project 8. Please refer to the Gradescope Instructions for more information. Create testproject.py and implement the necessary calls (following each respective API) to indicators.py and TheoreticallyOptimalStrategy.py, with the appropriate parameters to run everything needed for the report in a single Python call. You may not use the Python os library/module. Values of +2000 and -2000 for trades are also legal so long as net holdings are constrained to -1000, 0, and 1000. Thus, the maximum Gradescope TESTING score, while instructional, does not represent the minimum score one can expect when the assignment is graded using the private grading script. For your report, use only the symbol JPM. Backtest your Trading Strategies. df_trades: A single column data frame, indexed by date, whose values represent trades for each trading day (from the start date to the end date of a given period). Explicit instructions on how to properly run your code. Gradescope TESTING does not grade your assignment. Spring 2019 Project 6: Manual Strategy From Quantitative Analysis Software Courses Contents 1 Revisions 2 Overview 3 Template 4 Data Details, Dates and Rules 5 Part 1: Technical Indicators (20 points) 6 Part 2: Theoretically Optimal Strategy (20 points) 7 Part 3: Manual Rule-Based Trader (50 points) 8 Part 4: Comparative Analysis (10 points) 9 Hints 10 Contents of Report 11 Expectations 12 . Description of what each python file is for/does. In Project-8, you will need to use the same indicators you will choose in this project. egomaniac with low self esteem. Make sure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. stephanie edwards singer niece. The indicators should return results that can be interpreted as actionable buy/sell signals. If you want to use EMA in addition to using MACD, then EMA would need to be explicitly identified as one of the five indicators. 1 watching Forks. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Provide a compelling description regarding why that indicator might work and how it could be used. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. Explicit instructions on how to properly run your code. The directory structure should align with the course environment framework, as discussed on the local environment and ML4T Software pages. Another example: If you were using price/SMA as an indicator, you would want to create a chart with 3 lines: Price, SMA, Price/SMA. Another example: If you were using price/SMA as an indicator, you would want to create a chart with 3 lines: Price, SMA, Price/SMA. Maximum loss: premium of the option Maximum gain: theoretically infinite. or. The report is to be submitted as. Your report should use. You are allowed unlimited submissions of the report.pdf file to Canvas. The technical indicators you develop here will be utilized in your later project to devise an intuition-based trading strategy and a Machine Learning based trading strategy. You signed in with another tab or window. You should also report, as a table, in your report: Your TOS should implement a function called testPolicy() as follows: Your testproject.py code should call testPolicy() as a function within TheoreticallyOptimalStrategy as follows: The df_trades result can be used with your market simulation code to generate the necessary statistics. Only use the API methods provided in that file. Your report and code will be graded using a rubric design to mirror the questions above. The Project Technical Requirements are grouped into three sections: Always Allowed, Prohibited with Some Exceptions, and Always Prohibited. It also involves designing, tuning, and evaluating ML models suited to the predictive task. This project has two main components: First, you will develop a theoretically optimal strategy (TOS), which represents the maximum amount your portfolio can theoretically return. You may find our lecture on time series processing, the. Do NOT copy/paste code parts here as a description. , where folder_name is the path/name of a folder or directory. For each indicator, you should create a single, compelling chart (with proper title, legend, and axis labels) that illustrates the indicator (you can use sub-plots to showcase different aspects of the indicator).
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