This assignment is subject to change up until 3 weeks prior to the due date. Please note that requests will be denied if they are not submitted using the, form or do not fall within the timeframes specified on the. We encourage spending time finding and research. Because it produces a collection of points that are an, average of values before that moment, its also known as a rolling mean. Students are encouraged to leverage Gradescope TESTING before submitting an assignment for grading. See the Course Development Recommendations, Guidelines, and Rules for the complete list of requirements applicable to all course assignments. Only use the API methods provided in that file. 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. This is the ID you use to log into Canvas. You can use util.py to read any of the columns in the stock symbol files. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Technical indicators are heuristic or mathematical calculations based on the price, volume, or open interest of a security or contract used by traders who follow technical analysis. In Project-8, you will need to use the same indicators you will choose in this project. Describe the strategy in a way that someone else could evaluate and/or implement it. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. You are allowed unlimited submissions of the report.pdf file to Canvas. 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. Please submit the following files to Gradescope SUBMISSION: Important: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. Describe how you created the strategy and any assumptions you had to make to make it work. Please submit the following files to Gradescope SUBMISSION: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. Fall 2019 ML4T Project 6. to develop a trading strategy using technical analysis with manually selected indicators. or. 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 is to be submitted as p6_indicatorsTOS_report.pdf. If the required report is not provided (-100 points), Bonus for exceptionally well-written reports (up to +2 points), If there are not five different indicators (where you may only use two from the set discussed in the lectures [SMA, Bollinger Bands, RSI]) (-15 points each), If the submitted code in the indicators.py file does not properly reflect the indicators provided in the report (up to -75 points). In the Theoretically Optimal Strategy, assume that you can see the future. An improved version of your marketsim code accepts a trades DataFrame (instead of a file). This project has two main components: First, you will research and identify five market indicators. Neatness (up to 5 points deduction if not). Late work is not accepted without advanced agreement except in cases of medical or family emergencies. PowerPoint to be helpful. (-10 points if not), Is the chart correct (dates and equity curve), including properly labeled axis and legend (up to -10 points if not), The historical value of benchmark normalized to 1.0, plotted with a green line (-5 if not), The historical value of portfolio normalized to 1.0, plotted with a red line (-5 if not), Are the reported performance criteria correct? Charts should also be generated by the code and saved to files. The report is to be submitted as. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. Please keep in mind that completion of this project is pivotal to Project 8 completion. 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. For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. Find the probability that a light bulb lasts less than one year. 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. . @returns the estimated values according to the saved model. SMA can be used as a proxy the true value of the company stock. D) A and C Click the card to flip Definition We want a written detailed description here, not code. In Project-8, you will need to use the same indicators you will choose in this project. You are allowed unlimited resubmissions to Gradescope TESTING. 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. Second, you will develop a theoretically optimal strategy (TOS), which represents the maximum amount your portfolio can theoretically return. 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. GitHub Instantly share code, notes, and snippets. 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. specifies font sizes and margins, which should not be altered. fantasy football calculator week 10; theoretically optimal strategy ml4t. Include charts to support each of your answers. You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. No credit will be given for coding assignments that do not pass this pre-validation. At a minimum, address each of the following for each indicator: The total number of charts for Part 1 must not exceed 10 charts. Provide one or more charts that convey how each indicator works compellingly. More specifically, the ML4T workflow starts with generating ideas for a well-defined investment universe, collecting relevant data, and extracting informative features. Maximum loss: premium of the option Maximum gain: theoretically infinite. , with the appropriate parameters to run everything needed for the report in a single Python call. Three examples of Technical indicators, namely Simple moving average, Momentum and Bollinger Bands. 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). Allowable positions are 1000 shares long, 1000 shares short, 0 shares. . A) The default rate on the mortgages kept rising. Gradescope TESTING does not grade your assignment. However, it is OK to augment your written description with a pseudocode figure. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. Description of what each python file is for/does. Code that displays warning messages to the terminal or console. This copyright statement should not be removed, We do grant permission to share solutions privately with non-students such, as potential employers. 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). The report is to be submitted as p6_indicatorsTOS_report.pdf. A tag already exists with the provided branch name. This Golden_Cross indicator would need to be defined in Project 6 to be used in Project 8. We hope Machine Learning will do better than your intuition, but who knows? Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Epoxy Flooring UAE; Floor Coating UAE; Self Leveling Floor Coating; Wood Finishes and Coating; Functional Coatings. You are constrained by the portfolio size and order limits as specified above. Technical analysis using indicators and building a ML based trading strategy. You are constrained by the portfolio size and order limits as specified above. optimal strategy logic Learn about this topic in these articles: game theory In game theory: Games of perfect information can deduce strategies that are optimal, which makes the outcome preordained (strictly determined). The Gradescope TESTING script is not a complete test suite and does not match the more stringent private grader that is used in Gradescope SUBMISSION. We hope Machine Learning will do better than your intuition, but who knows? Develop and describe 5 technical indicators. and has a maximum of 10 pages. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. You may not use the Python os library/module. () (up to -100 if not), All charts must be created and saved using Python code. Please address each of these points/questions in your report. 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 the Gradescope SUBMISSION environment. You may not modify or copy code in util.py. Buy-Put Option A put option is the opposite of a call. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. Please refer to the Gradescope Instructions for more information. 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). Note: Theoretically Optimal Strategy does not use the indicators developed in the previous section. Log in with Facebook Log in with Google. 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. By looking at Figure, closely, the same may be seen. Charts should also be generated by the code and saved to files. It is usually worthwhile to standardize the resulting values (see https://en.wikipedia.org/wiki/Standard_score). Theoretically, Optimal Strategy will give a baseline to gauge your later project's performance. 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. Please answer in an Excel spreadsheet showing all work (including Excel solver if used). import datetime as dt import pandas as pd import numpy as np from util import symbol_to_path,get_data def Code implementing your indicators as functions that operate on DataFrames. The. 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. 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. We want a written detailed description here, not code. No credit will be given for coding assignments that do not pass this pre-validation. 1 TECHNICAL INDICATORS We will discover five different technical indicators which can be used to gener- ated buy or sell calls for given asset. Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). 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. Provide a compelling description regarding why that indicator might work and how it could be used. In the case of such an emergency, please contact the, Complete your assignment using the JDF format, then save your submission as a PDF. 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 . The algebraic side of the problem of nding an optimal trading strategy is now formally fully equivalent to that of nding an optimal portfolio, and the optimal strategy takes the form = 1 11+ 2 1 , (10) with now the auto-covariance matrix of the price process rather than the covariance matrix of portfolio . Enter the email address you signed up with and we'll email you a reset link. Your report should useJDF format and has a maximum of 10 pages. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. We propose a novel R-tree packing strategy that produces R-trees with an asymptotically optimal I/O complexity for window queries in the worst case. Your report and code will be graded using a rubric design to mirror the questions above. Be sure you are using the correct versions as stated on the. The submitted code is run as a batch job after the project deadline. 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. Usually, I omit any introductory or summary videos. Please refer to the. Considering how multiple indicators might work together during Project 6 will help you complete the later project. When a short period moving mean goes above a huge long period moving mean, it is known as a golden cross. 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. 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 may trade up to 2000 shares at a time as long as you maintain these holding requirements.). We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. egomaniac with low self esteem. All charts must be included in the report, not submitted as separate files. Only code submitted to Gradescope SUBMISSION will be graded. Complete your report using the JDF format, then save your submission as a PDF. : 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. Develop and describe 5 technical indicators. Any content beyond 10 pages will not be considered for a grade. 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): We hope Machine Learning will do better than your intuition, but who knows? Be sure to describe how they create buy and sell signals (i.e., explain how the indicator could be used alone and/or in conjunction with other indicators to generate buy/sell signals). The tweaked parameters did not work very well. ONGOING PROJECTS; UPCOMING PROJECTS; united utilities jobs Compare and analysis of two strategies. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. 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 are constrained by the portfolio size and order limits as specified above. Provide a table that documents the benchmark and TOS performance metrics. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. (-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). If a specific random seed is used, it must only be called once within a test_code() function in the testproject.py file and it must use your GT ID as the numeric value. More info on the trades data frame is below. It is usually worthwhile to standardize the resulting values (see, https://en.wikipedia.org/wiki/Standard_score. The report is to be submitted as report.pdf. Note: The Theoretically Optimal Strategy does not use the indicators developed in the previous section. Let's call it ManualStrategy which will be based on some rules over our indicators. This file should be considered the entry point to the project. Please note that there is no starting .zip file associated with this project. You may also want to call your market simulation code to compute statistics. The average number of hours a . 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. I need to show that the game has no saddle point solution and find an optimal mixed strategy. SMA helps to iden-, tify the trend, support, and resistance level and is often used in conjunction with. This framework assumes you have already set up the local environment and ML4T Software. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. , where folder_name is the path/name of a folder or directory. Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). To review, open the file in an editor that reveals hidden Unicode characters. All work you submit should be your own. ML4T / manual_strategy / TheoreticallyOptimalStrateg. The report is to be submitted as report.pdf. This file has a different name and a slightly different setup than your previous project. Fall 2019 ML4T Project 6 Resources. Citations within the code should be captured as comments. You are encouraged to perform any unit tests necessary to instill confidence in your implementation. These commands issued are orders that let us trade the stock over the exchange. The file will be invoked run: This is to have a singleentry point to test your code against the report. 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). 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. A simple strategy is to sell as much as there is possibility in the portfolio ( SHORT till portfolio reaches -1000) and if price is going up in future buy as much as there is possibility in the portfolio( LONG till portfolio reaches +1000). We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. Of course, this might not be the optimal ratio. Do NOT copy/paste code parts here as a description. The library is used extensively in the book Machine Larning for . Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Anti Slip Coating UAE Code implementing your indicators as functions that operate on DataFrames. In Project-8, you will need to use the same indicators you will choose in this project. We want a written detailed description here, not code. (Round to four decimal places) Find the, What is the value of the autocorrelation function of lag order 0? 0 stars Watchers. Provide a compelling description regarding why that indicator might work and how it could be used. They should contain ALL code from you that is necessary to run your evaluations. It should implement testPolicy(), which returns a trades data frame (see below). If you submit your code to Gradescope TESTING and have not also submitted your code to Gradescope SUBMISSION, you will receive a zero (0). 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. Create a Manual Strategy based on indicators. Code implementing a TheoreticallyOptimalStrategy (details below). 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). Theoretically Optimal Strategy will give a baseline to gauge your later projects performance. By making several approximations to the theoretically-justified procedure, we develop a practical algorithm, called Trust Region Policy Optimization (TRPO). We have applied the following strategy using 3 indicators : Bollinger Bands, Momentum and Volatility using Price Vs SMA. You are allowed unlimited submissions of the p6_indicatorsTOS_report.pdf. 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). The file will be invoked using the command: This is to have a singleentry point to test your code against the report. Benchmark: The performance of a portfolio starting with $100,000 cash, investing in 1000 shares of JPM, and holding that position. It is OK not to submit this file if you have subsumed its functionality into one of your other required code files. and has a maximum of 10 pages. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. that returns your Georgia Tech user ID as a string in each . Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. Since the above indicators are based on rolling window, we have taken 30 Days as the rolling window size. Not submitting a report will result in a penalty. 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. Using these predictions, analysts create strategies that they would apply to trade a security in order to make profit. (The indicator can be described as a mathematical equation or as pseudo-code). Considering how multiple indicators might work together during Project 6 will help you complete the later project. 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 . Explicit instructions on how to properly run your code. In the Theoretically Optimal Strategy, assume that you can see the future. You will submit the code for the project in Gradescope SUBMISSION. Learn more about bidirectional Unicode characters. The indicators should return results that can be interpreted as actionable buy/sell signals. You will not be able to switch indicators in Project 8. . manual_strategy/TheoreticallyOptimalStrategy.py Go to file Cannot retrieve contributors at this time 182 lines (132 sloc) 4.45 KB Raw Blame """ Code implementing a TheoreticallyOptimalStrategy object It should implement testPolicy () which returns a trades data frame Just another site. Benchmark: The performance of a portfolio starting with $100,000 cash, investing in 1000 shares of JPM, and holding that position. Before the deadline, make sure to pre-validate your submission using Gradescope TESTING. You may create a new folder called indicator_evaluation to contain your code for this project. (up to -5 points if not). . Ensure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes.
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