theoretically optimal strategy ml4t

theoretically optimal strategy ml4t

Values of +2000 and -2000 for trades are also legal so long as net holdings are constrained to -1000, 0, and 1000. @param points: should be a numpy array with each row corresponding to a specific query. Stockchart.com School (Technical Analysis Introduction), TA Ameritrade Technical Analysis Introduction Lessons, (pick the ones you think are most useful), Investopedias Introduction to Technical Analysis, Technical Analysis of the Financial Markets, A good introduction to technical analysis. Create a Manual Strategy based on indicators. You will have access to the data in the ML4T/Data directory but you should use ONLY the API . This file has a different name and a slightly different setup than your previous project. 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 . In the Theoretically Optimal Strategy, assume that you can see the future. You signed in with another tab or window. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. Backtest your Trading Strategies. Clone with Git or checkout with SVN using the repositorys web address. If we plot the Bollinger Bands with the price for a time period: We can find trading opportunity as SELL where price is entering the upper band from outside the upper band, and BUY where price is lower than the lower band and moving towards the SMA from outside. You may find our lecture on time series processing, the. You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. 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. Gradescope TESTING does not grade your assignment. 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. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Please submit the following file to Canvas in PDF format only: Please submit the following files to Gradescope, We do not provide an explicit set timeline for returning grades, except that everything will be graded before the institute deadline (end of the term). Note that an indicator like MACD uses EMA as part of its computation. No credit will be given for coding assignments that fail in Gradescope SUBMISSION and failed to pass this pre-validation in Gradescope TESTING. 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. This means someone who wants to implement a strategy that uses different values for an indicator (e.g., a Golden Cross that uses two SMA calls with different parameters) will need to create a Golden_Cross indicator that returns a single results vector, but internally the indicator can use two SMA calls with different parameters). Strategy and how to view them as trade orders. 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. You are allowed unlimited resubmissions to Gradescope TESTING. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. The algorithm then starts with a single initial position with the initial cash amount, no shares, and no transactions. You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. Description of what each python file is for/does. 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). Your report and code will be graded using a rubric design to mirror the questions above. Please note that there is no starting .zip file associated with this project. You should submit a single PDF for the report portion of the assignment. Allowable positions are 1000 shares long, 1000 shares short, 0 shares. You are constrained by the portfolio size and order limits as specified above. specifies font sizes and margins, which should not be altered. Please keep in mind that the completion of this project is pivotal to Project 8 completion. Short and long term SMA values are used to create the Golden and Death Cross. Fall 2019 ML4T Project 6. to develop a trading strategy using technical analysis with manually selected indicators. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. It is usually worthwhile to standardize the resulting values (see https://en.wikipedia.org/wiki/Standard_score). B) Rating agencies were accurately assigning ratings. You may set a specific random seed for this assignment. I need to show that the game has no saddle point solution and find an optimal mixed strategy. Read the next part of the series to create a machine learning based strategy over technical indicators and its comparative analysis over the rule based strategy. # Curr Price > Next Day Price, Price dipping so sell the stock off, # Curr Price < Next Day Price, stock price improving so buy stock to sell later, # tos.testPolicy(sd=dt.datetime(2010,1,1), ed=dt.datetime(2011,12,31)). Please keep in mind that the completion of this project is pivotal to Project 8 completion. Password. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. Theoretically Optimal Strategy will give a baseline to gauge your later projects performance. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. Late work is not accepted without advanced agreement except in cases of medical or family emergencies. and has a maximum of 10 pages. Describe the strategy in a way that someone else could evaluate and/or implement it. egomaniac with low self esteem. ML4T is a good course to take if you are looking for light work load or pair it with a hard one. Here we derive the theoretically optimal strategy for using a time-limited intervention to reduce the peak prevalence of a novel disease in the classic Susceptible-Infectious-Recovered epidemic . () (up to -100 if not), All charts must be created and saved using Python code. You should submit a single PDF for the report portion of the assignment. 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. A tag already exists with the provided branch name. 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. In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project. 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 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). We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. Floor Coatings. However, it is OK to augment your written description with a pseudocode figure. These metrics should include cumulative returns, the standard deviation of daily returns, and the mean of daily returns for both the benchmark and portfolio. . The JDF format specifies font sizes and margins, which should not be altered. 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. We have applied the following strategy using 3 indicators : Bollinger Bands, Momentum and Volatility using Price Vs SMA. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Learn more about bidirectional Unicode characters. Use the time period January 1, 2008, to December 31, 2009. 1 TECHNICAL INDICATORS We will discover five different technical indicators which can be used to gener- ated buy or sell calls for given asset. We encourage spending time finding and research. The ultimate goal of the ML4T workflow is to gather evidence from historical data that helps decide whether to deploy a candidate strategy in a live market and put financial resources at risk. 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. If simultaneously have a row minimum and a column maximum this is an example of a saddle point solution. This copyright statement should not be removed, We do grant permission to share solutions privately with non-students such, as potential employers. 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. This project has two main components: First, you will research and identify five market indicators. Charts should also be generated by the code and saved to files. For example, you might create a chart showing the stocks price history, along with helper data (such as upper and lower Bollinger Bands) and the value of the indicator itself. Before the deadline, make sure to pre-validate your submission using Gradescope TESTING. Here is an example of how you might implement author(): Implementing this method correctly does not provide any points, but there will be a penalty for not implementing it. Charts should also be generated by the code and saved to files. 7 forks Releases No releases published. When a short period moving mean goes above a huge long period moving mean, it is known as a golden cross. The following textbooks helped me get an A in this course: The file will be invoked run: This is to have a singleentry point to test your code against the report. The submitted code is run as a batch job after the project deadline. The, number of points to average before a specific point is sometimes referred to as, In our case, SMA aids in smoothing out price data over time by generating a, stream of averaged out prices, which aids in suppressing outliers from a dataset, and so lowering their overall influence. Any content beyond 10 pages will not be considered for a grade. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. Describe the strategy in a way that someone else could evaluate and/or implement it. We refer to the theoretically optimal policy, which the learning algorithm may or may not find, as \pi^* . Not submitting a report will result in a penalty. The file will be invoked run: entry point to test your code against the report. Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. The algorithm first executes all possible trades . : You will develop an understanding of various trading indicators and how they might be used to generate trading signals. 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. 1 watching Forks. Also note that when we run your submitted code, it should generate the charts and table. For our discussion, let us assume we are trading a stock in market over a period of time. In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project. A tag already exists with the provided branch name. You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. Topics: Information processing, probabilistic analysis, portfolio construction, generation of market orders, KNN, random forests. Now we want you to run some experiments to determine how well the betting strategy works. View TheoreticallyOptimalStrategy.py from ML 7646 at Georgia Institute Of Technology. (You may trade up to 2000 shares at a time as long as you maintain these holding requirements.). Contribute to havishc19/StockTradingStrategy development by creating an account on GitHub. +1000 ( We have 1000 JPM stocks in portfolio), -1000 (We have short 1000 JPM stocks and attributed them in our portfolio). In Project-8, you will need to use the same indicators you will choose in this project. For large deviations from the price, we can expect the price to come back to the SMA over a period of time. 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 also need five electives, so consider one of these as an alternative for your first. We do not provide an explicit set timeline for returning grades, except that everything will be graded before the institute deadline (end of the term). Please submit the following files to Gradescope SUBMISSION: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. Your report should use. You should submit a single PDF for this assignment. Please note that util.py is considered part of the environment and should not be moved, modified, or copied. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. 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. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. 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 . 64 lines 2.0 KiB Raw Permalink Blame History import pandas as pd from util import get_data from collections import namedtuple Position = namedtuple("Pos", ["cash", "shares", "transactions"]) def author(): return "felixm" def new_positions(positions, price): In the case of such an emergency, please contact the, Complete your assignment using the JDF format, then save your submission as a PDF. Theoretically optimal (up to 20 points potential deductions): Is the methodology described correct and convincing? Make sure to answer those questions in the report and ensure the code meets the project requirements. The indicators selected here cannot be replaced in Project 8. The implementation may optionally write text, statistics, and/or tables to a single file named p6_results.txt or p6_results.html. Log in with Facebook Log in with Google. Building on its nearly two decades of experience and deep partnerships in developing and implementing DEI strategies, MLT introduced the MLT Black Equity at Work Certification for employersa first-of-its-kind, clear standard and roadmap for companies that are committed to achieving Black equity. Lastly, I've heard good reviews about the course from others who have taken it. Note that this strategy does not use any indicators. Second, you will develop a theoretically optimal strategy (TOS), which represents the maximum amount your portfolio can theoretically return. Bonus for exceptionally well-written reports (up to 2 points), Is the required report provided (-100 if not), Are there five different indicators where you may only use two from the set discussed in the lectures (i.e., no more than two from the set [SMA, Bollinger Bands, RSI])? You are allowed unlimited resubmissions to Gradescope TESTING. You may not use stand-alone indicators with different parameters in Project 8 (e.g., SMA(5) and SMA(30)). 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. Provide a chart that illustrates the TOS performance versus the benchmark. 2.The proposed packing strategy suggests a simple R-tree bulk-loading algorithm that relies only on sort-ing. The indicators that are selected here cannot be replaced in Project 8. Neatness (up to 5 points deduction if not). (The indicator can be described as a mathematical equation or as pseudo-code). Complete your assignment using the JDF format, then save your submission as a PDF. Only code submitted to Gradescope SUBMISSION will be graded. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. (-5 points if not), Is there a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend? You may find our lecture on time series processing, the Technical Analysis video, and the vectorize_me PowerPoint to be helpful. This assignment is subject to change up until 3 weeks prior to the due date. Develop and describe 5 technical indicators. which is holding the stocks in our portfolio. Transaction costs for TheoreticallyOptimalStrategy: Commission: $0.00, Impact: 0.00. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. Are you sure you want to create this branch? Provide a chart that illustrates the TOS performance versus the benchmark. For your report, use only the symbol JPM. See the Course Development Recommendations, Guidelines, and Rules for the complete list of requirements applicable to all course assignments. Within each document, the headings correspond to the videos within that lesson. You may not use any libraries not listed in the allowed section above. 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. 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). For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. You should create a directory for your code in ml4t/indicator_evaluation. compare its performance metrics to those of a benchmark. For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. . (The indicator can be described as a mathematical equation or as pseudo-code). Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). All work you submit should be your own. 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. Use only the functions in util.py to read in stock data. 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. No credit will be given for code that does not run in this environment and students are encouraged to leverage Gradescope TESTING prior to submitting an assignment for grading. . and has a maximum of 10 pages. . Here we derive the theoretically optimal strategy for using a time-limited intervention to reduce the peak prevalence of a novel disease in the classic Susceptible-Infectious-Recovered epidemic . DO NOT use plt.show() (, up to -100 if all charts are not created or if plt.show() is used), Your code may use the standard Python libraries, NumPy, SciPy, matplotlib, and Pandas libraries. The optimal strategy works by applying every possible buy/sell action to the current positions. . If this had been my first course, I likely would have dropped out suspecting that all . Any content beyond 10 pages will not be considered for a grade. In this case, MACD would need to be modified for Project 8 to return your own custom results vector that somehow combines the MACD and Signal vectors, or it would need to be modified to return only one of those vectors. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Ensure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. 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. However, it is OK to augment your written description with a, Do NOT copy/paste code parts here as a description, It is usually worthwhile to standardize the resulting values (see. All charts and tables must be included in the report, not submitted as separate files. The report is to be submitted as. You may not use any code you did not write yourself. Trading of a stock, in its simplistic form means we can either sell, buy or hold our stocks in portfolio. 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. Please keep in mind that completion of this project is pivotal to Project 8 completion. Note: Theoretically Optimal Strategy does not use the indicators developed in the previous section. For grading, we will use our own unmodified version. For each indicator, you will write code that implements each indicator. You are constrained by the portfolio size and order limits as specified above. These commands issued are orders that let us trade the stock over the exchange. fantasy football calculator week 10; theoretically optimal strategy ml4t. Please address each of these points/questions in your report. You must also create a README.txt file that has: The following technical requirements apply to this assignment. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. We want a written detailed description here, not code. We do not anticipate changes; any changes will be logged in this section. Description of what each python file is for/does. that returns your Georgia Tech user ID as a string in each .py file. Code implementing a TheoreticallyOptimalStrategy object (details below). TheoreticallyOptimalStrategy.pyCode implementing a TheoreticallyOptimalStrategy object (details below). Here is an example of how you might implement author(): Create testproject.py and implement the necessary calls (following each respective API) to. Our Challenge We want a written detailed description here, not code. The report is to be submitted as. Please refer to the Gradescope Instructions for more information. Include charts to support each of your answers. A) The default rate on the mortgages kept rising. SMA is the moving average calculated by sum of adjusted closing price of a stock over the window and diving over size of the window. specifies font sizes and margins, which should not be altered. A Game-Theoretically Optimal Defense Paradigm against Traffic Analysis Attacks using Multipath Routing and Deception . You are encouraged to develop additional tests to ensure that all project requirements are met. Anti Slip Coating UAE This is an individual assignment. We can calculate Price/SMA (PSMA) values and use them to generated buy or, and above can indicate SELL. This process builds on the skills you developed in the previous chapters because it relies on your ability to Use only the data provided for this course. In Project-8, you will need to use the same indicators you will choose in this project. This file should be considered the entry point to the project. Citations within the code should be captured as comments. To facilitate visualization of the indicator, you might normalize the data to 1.0 at the start of the date range (i.e., divide price[t] by price[0]). You may not use any other method of reading data besides util.py. 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. or reset password. (up to 3 charts per indicator). Once you are satisfied with the results in testing, submit the code to Gradescope SUBMISSION. You will not be able to switch indicators in Project 8. You should create the following code files for submission. No credit will be given for code that does not run in this environment and students are encouraged to leverage Gradescope TESTING prior to submitting an assignment for grading. . ML4T / manual_strategy / TheoreticallyOptimalStrateg. Allowable positions are 1000 shares long, 1000 shares short, 0 shares. Code implementing a TheoreticallyOptimalStrategy (details below). Students are encouraged to leverage Gradescope TESTING before submitting an assignment for grading. Note: The format of this data frame differs from the one developed in a prior project. To review, open the file in an editor that reveals hidden Unicode characters. At a minimum, address each of the following for each indicator: The total number of charts for Part 1 must not exceed 10 charts.

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