theoretically optimal strategy ml4t

This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Fall 2019 ML4T Project 6. to develop a trading strategy using technical analysis with manually selected indicators. For the Theoretically Optimal Strategy, at a minimum, address each of the following: There is no locally provided grading / pre-validation script for this assignment. C) Banks were incentivized to issue more and more mortgages. Short and long term SMA values are used to create the Golden and Death Cross. (-5 points if not), Is there a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend? It is OK not to submit this file if you have subsumed its functionality into one of your other required code files. You may find the following resources useful in completing the project or providing an in-depth discussion of the material. You may find our lecture on time series processing, the. . No packages published . This class uses Gradescope, a server-side autograder, to evaluate your code submission. Code in Gradescope SUBMISSION must not generate any output to the screen/console/terminal (other than run-time warning messages) when verbose = False. We hope Machine Learning will do better than your intuition, but who knows? 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. Provide one or more charts that convey how each indicator works compellingly. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. 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. . The report will be submitted to Canvas. Once grades are released, any grade-related matters must follow the Assignment Follow-Up guidelines and process alone. Clone with Git or checkout with SVN using the repositorys web address. When the short period mean falls and crosses the, long period mean, the death cross occurs, travelling in the opposite way as the, A golden cross indicates a future bull market, whilst a death cross indicates, a future down market. 6 Part 2: Theoretically Optimal Strategy (20 points) 7 Part 3: Manual Rule-Based Trader (50 points) 8 Part 4: Comparative Analysis (10 points) . Benchmark (see definition above) normalized to 1.0 at the start: Plot as a, Value of the theoretically optimal portfolio (normalized to 1.0 at the start): Plot as a, Cumulative return of the benchmark and portfolio, Stdev of daily returns of benchmark and portfolio, Mean of daily returns of benchmark and portfolio, sd: A DateTime object that represents the start date, ed: A DateTime object that represents the end date. Password. Theoretically Optimal Strategy will give a baseline to gauge your later project's performance against. Individual Indicators (up to 15 points potential deductions per indicator): If there is not a compelling description of why the indicator might work (-5 points), If the indicator is not described in sufficient detail that someone else could reproduce it (-5 points), If there is not a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend (up to -5 points), If the methodology described is not correct and convincing (-10 points), If the chart is not correct (dates and equity curve), including properly labeled axis and legend (up to -10 points), If the historical value of the benchmark is not normalized to 1.0 or is not plotted with a green line (-5 points), If the historical value of the portfolio is not normalized to 1.0 or is not plotted with a red line (-5 points), If the reported performance criteria are incorrect (See the appropriate section in the instructions above for required statistics). Create a Theoretically optimal strategy if we can see future stock prices. 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. You should submit a single PDF for the report portion of the assignment. 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. You may also want to call your market simulation code to compute statistics. The following exemptions to the Course Development Recommendations, Guidelines, and Rules apply to this project: Although the use of these or other resources is not required; some may find them useful in completing the project or in providing an in-depth discussion of the material. Note: The format of this data frame differs from the one developed in a prior project. For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. Charts should also be generated by the code and saved to files. Students, and other users of this template code are advised not to share it with others, or to make it available on publicly viewable websites including repositories, such as github and gitlab. It should implement testPolicy(), which returns a trades data frame (see below). This project has two main components: First, you will research and identify five market indicators. Remember me on this computer. Your, # code should work correctly with either input, # Update Portfolio Shares and Cash Holdings, # Apply market impact - Price goes up by impact prior to purchase, # Apply commission - To be applied on every transaction, regardless of BUY or SELL, # Apply market impact - Price goes down by impact prior to sell, 'Theoretically Optimal Strategy vs Benchmark'. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. You may find our lecture on time series processing, the Technical Analysis video, and the vectorize_me PowerPoint to be helpful. Here are my notes from when I took ML4T in OMSCS during Spring 2020. Considering how multiple indicators might work together during Project 6 will help you complete the later project. Please keep in mind that the completion of this project is pivotal to Project 8 completion. PowerPoint to be helpful. Assignments should be submitted to the corresponding assignment submission page in Canvas. Thus, these trade orders can be of type: For simplicity of discussion, lets assume, we can only issue these three commands SHORT, LONG and HOLD for our stock JPM, and our portfolio can either be in these three states at a given time: Lets assume we can foresee the future price and our tasks is create a strategy that can make profit. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. : You will develop an understanding of various trading indicators and how they might be used to generate trading signals. They can be calculated as: upper_band = sma + standard_deviation * 2, lower_band = sma - standard_deviation * 2. Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. Please keep in mind that the completion of this project is pivotal to Project 8 completion. (-2 points for each item), If the required code is not provided, (including code to recreate the charts and usage of correct trades DataFrame) (up to -100 points), If all charts are not created and saved using Python code. 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. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. A) The default rate on the mortgages kept rising. You may not modify or copy code in util.py. When a short period moving mean goes above a huge long period moving mean, it is known as a golden cross. Please address each of these points/questions in your report. section of the code will call the testPolicy function in TheoreticallyOptimalStrategy, as well as your indicators and marketsimcode as needed, to generate the plots and statistics for your report (more details below). @returns the estimated values according to the saved model. An improved version of your marketsim code accepts a trades DataFrame (instead of a file). Only code submitted to Gradescope SUBMISSION will be graded. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). This file has a different name and a slightly different setup than your previous project. Describe how you created the strategy and any assumptions you had to make to make it work. 0 stars Watchers. Our bets on a large window size was not correct and even though the price went up, the huge lag in reflection on SMA and Momentum, was not able to give correct BUY and SELL opportunity on time. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. This process builds on the skills you developed in the previous chapters because it relies on your ability to You will submit the code for the project in Gradescope SUBMISSION. It should implement testPolicy(), which returns a trades data frame (see below). . After that, we will develop a theoretically optimal strategy and compare its performance metrics to those of a benchmark. Find the probability that a light bulb lasts less than one year. You signed in with another tab or window. View TheoreticallyOptimalStrategy.py from CS 4646 at Kenesaw Secondary School. Only use the API methods provided in that file. Provide a compelling description regarding why that indicator might work and how it could be used. (-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). Use only the data provided for this course. (You may trade up to 2000 shares at a time as long as you maintain these holding requirements.). . As an, Please solve these questions.. PBL SESSION 1: REVENUE CYCLE ZARA Son Bhd is a well-known manufacturing company supplying Baju Kurung and Baju Melayu, a traditional costume of the Malays. Just another site. You may also want to call your market simulation code to compute statistics. Do NOT copy/paste code parts here as a description. Simple Moving average Code implementing your indicators as functions that operate on DataFrames. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. By making several approximations to the theoretically-justified procedure, we develop a practical algorithm, called Trust Region Policy Optimization (TRPO). Stockchart.com School (Technical Analysis Introduction), TA Ameritrade Technical Analysis Introduction Lessons, (pick the ones you think are most useful), A good introduction to technical analysis, Investopedias Introduction to Technical Analysis, Technical Analysis of the Financial Markets. Buy-Put Option A put option is the opposite of a call. Please note that there is no starting .zip file associated with this project. In addition to testing on your local machine, you are encouraged to submit your files to Gradescope TESTING, where some basic pre-validation tests will be performed against the code. You must also create a README.txt file that has: The following technical requirements apply to this assignment. Ml4t Notes - Read online for free. In addition to submitting your code to Gradescope, you will also produce a report. Log in with Facebook Log in with Google. It is not your 9 digit student number. However, it is OK to augment your written description with a. We have applied the following strategy using 3 indicators : Bollinger Bands, Momentum and Volatility using Price Vs SMA. Here is an example of how you might implement author(): Create testproject.py and implement the necessary calls (following each respective API) to.