theoretically optimal strategy ml4t

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): You may not use any code you did not write yourself. By making several approximations to the theoretically-justified procedure, we develop a practical algorithm, called Trust Region Policy Optimization (TRPO). This assignment is subject to change up until 3 weeks prior to the due date. You can use util.py to read any of the columns in the stock symbol files. Here is an example of how you might implement author(): Create testproject.py and implement the necessary calls (following each respective API) to. 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. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Complete your report using the JDF format, then save your submission as a PDF. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. Note: The format of this data frame differs from the one developed in a prior project. An improved version of your marketsim code accepts a trades DataFrame (instead of a file). You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. 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. Assignments should be submitted to the corresponding assignment submission page in Canvas. Describe how you created the strategy and any assumptions you had to make to make it work. 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. You will submit the code for the project. 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). Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. diversified portfolio. ML4T Final Practice Questions 5.0 (3 reviews) Term 1 / 171 Why did it become a good investment to bet against mortgage-backed securities. The algorithm then starts with a single initial position with the initial cash amount, no shares, and no transactions. or reset password. 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 are encouraged to submit your files to Gradescope TESTING, where some basic pre-validation tests will be performed against the code. import TheoreticallyOptimalStrategy as tos from util import get_data from marketsim.marketsim import compute_portvals from optimize_something.optimization import calculate_stats def author(): return "felixm" def test_optimal_strategy(): symbol = "JPM" start_value = 100000 sd = dt.datetime(2008, 1, 1) ed = dt.datetime(2009, 12, 31) Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). Gradescope TESTING does not grade your assignment. Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. The report is to be submitted as. Individual Indicators (up to 15 points potential deductions per indicator): Is there a compelling description of why the indicator might work (-5 if not), Is the indicator described in sufficient detail that someone else could reproduce it? We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. 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. We encourage spending time finding and research. If you submit your code to Gradescope TESTING and have not also submitted your code to Gradescope SUBMISSION, you will receive a zero (0). file. The following adjustments will be applied to the report: Theoretically optimal (up to 20 points potential deductions): Code deductions will be applied if any of the following occur: There is no auto-grader score associated with this project. # def get_listview(portvals, normalized): You signed in with another tab or window. They can be calculated as: upper_band = sma + standard_deviation * 2, lower_band = sma - standard_deviation * 2. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. fantasy football calculator week 10; theoretically optimal strategy ml4t. The indicators selected here cannot be replaced in Project 8. We can calculate Price/SMA (PSMA) values and use them to generated buy or, and above can indicate SELL. Late work is not accepted without advanced agreement except in cases of medical or family emergencies. PowerPoint to be helpful. While Project 6 doesnt need to code the indicators this way, it is required for Project 8, 3.5 Part 3: Implement author() function (deduction if not implemented). ) Description of what each python file is for/does. 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. You will not be able to switch indicators in Project 8. . You may set a specific random seed for this assignment. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. Create a Theoretically optimal strategy if we can see future stock prices. We should anticipate the price to return to the SMA over a period, of time if there are significant price discrepancies. To review, open the file in an editor that reveals hidden Unicode characters. In Project-8, you will need to use the same indicators you will choose in this project. 2/26 Updated Theoretically Optimal Strategy API call example; 3/2 Strikethrough out of sample dates in the Data Details, Dates and Rules section; Overview. Any content beyond 10 pages will not be considered for a grade. Use only the data provided for this course. . SMA can be used as a proxy the true value of the company stock. 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). Code must not use absolute import statements, such as: from folder_name import TheoreticalOptimalStrategy. The. You will have access to the data in the ML4T/Data directory but you should use ONLY the API . This project has two main components: First, you will research and identify five market indicators. Considering how multiple indicators might work together during Project 6 will help you complete the later project. We do not provide an explicit set timeline for returning grades, except that all assignments and exams will be graded before the institute deadline (end of the term). You may find the following resources useful in completing the project or providing an in-depth discussion of the material. Use the time period January 1, 2008, to December 31, 2009. In addition to submitting your code to Gradescope, you will also produce a report. which is holding the stocks in our portfolio. The indicators that are selected here cannot be replaced in Project 8. a)Equal to the autocorrelation of lag, An investor believes that investing in domestic and international stocks will give a difference in the mean rate of return. Make sure to answer those questions in the report and ensure the code meets the project requirements. 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 will also develop an understanding of the upper bounds (or maximum) amount that can be earned through trading given a specific instrument and timeframe. A position is cash value, the current amount of shares, and previous transactions. You signed in with another tab or window. Ensure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. (up to -100 points), Course Development Recommendations, Guidelines, and Rules. Theoretically optimal (up to 20 points potential deductions): Is the methodology described correct and convincing? Epoxy Flooring UAE; Floor Coating UAE; Self Leveling Floor Coating; Wood Finishes and Coating; Functional Coatings. Gradescope TESTING does not grade your assignment. After that, we will develop a theoretically optimal strategy and. Transaction costs for TheoreticallyOptimalStrategy: Commission: $0.00, Impact: 0.00. Textbook Information. . In the Theoretically Optimal Strategy, assume that you can see the future. 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. Our experiments show that the R-trees produced by the proposed strategy are highly efficient on real and synthetic data of different distributions. Are you sure you want to create this branch? TheoreticallyOptimalStrategy.py Code implementing a TheoreticallyOptimalStrategy object (details below).It should implement testPolicy () which returns a trades data frame (see below). Instantly share code, notes, and snippets. A tag already exists with the provided branch name. Include charts to support each of your answers. SMA helps to iden-, tify the trend, support, and resistance level and is often used in conjunction with. Trading of a stock, in its simplistic form means we can either sell, buy or hold our stocks in portfolio. Please note that there is no starting .zip file associated with this project. No credit will be given for coding assignments that fail in Gradescope SUBMISSION and failed to pass this pre-validation in Gradescope TESTING. . 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. 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. Scenario TourneSol Canada, Ltd. is a producer of, Problem: For this particular assignment, the data of different types of wine sales in the 20th century is to be analysed. (The indicator can be described as a mathematical equation or as pseudo-code). +1000 ( We have 1000 JPM stocks in portfolio), -1000 (We have short 1000 JPM stocks and attributed them in our portfolio). 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). 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. Considering how multiple indicators might work together during Project 6 will help you complete the later project. 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. Using these predictions, analysts create strategies that they would apply to trade a security in order to make profit. manual_strategy. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. The specific learning objectives for this assignment are focused on the following areas: Please keep in mind that the completion of this project is pivotal to Project 8 completion. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. The optimal strategy works by applying every possible buy/sell action to the current positions. 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. 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. Provide a compelling description regarding why that indicator might work and how it could be used. Please keep in mind that the completion of this project is pivotal to Project 8 completion. 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.