Legal values are +1000.0 indicating a BUY of 1000 shares, -1000.0 indicating a SELL of 1000 shares, and 0.0 indicating NOTHING. In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project. You may find our lecture on time series processing, the. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Your report and code will be graded using a rubric design to mirror the questions above. This is the ID you use to log into Canvas. It is not your 9 digit student number. This framework assumes you have already set up the. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. On OMSCentral, it has an average rating of 4.3 / 5 and an average difficulty of 2.5 / 5. This is the ID you use to log into Canvas. Please refer to the. 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 report.pdf. 7 forks Releases No releases published. 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. Provide a chart that illustrates the TOS performance versus the benchmark. The, Suppose that the longevity of a light bulb is exponential with a mean lifetime of eight years. Since the above indicators are based on rolling window, we have taken 30 Days as the rolling window size. Of course, this might not be the optimal ratio. Only use the API methods provided in that file. 2.The proposed packing strategy suggests a simple R-tree bulk-loading algorithm that relies only on sort-ing. (-5 points if not), Is there a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend? You should submit a single PDF for the report portion of the assignment. ML4T / manual_strategy / TheoreticallyOptimalStrateg. Also note that when we run your submitted code, it should generate the charts and table. Ml4t Notes - Read online for free. Maximum loss: premium of the option Maximum gain: theoretically infinite. Also, note that it should generate the charts contained in the report when we run your submitted code. Languages. This class uses Gradescope, a server-side autograder, to evaluate your code submission. Lastly, I've heard good reviews about the course from others who have taken it. You may find our lecture on time series processing, the. Trading of a stock, in its simplistic form means we can either sell, buy or hold our stocks in portfolio. 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])? It has very good course content and programming assignments . Just another site. 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. Please refer to the Gradescope Instructions for more information. You should submit a single PDF for this assignment. import datetime as dt import pandas as pd import numpy as np from util import symbol_to_path,get_data def 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. It is not your, student number. (Round to four decimal places) Find the, What is the value of the autocorrelation function of lag order 0? Theoretically optimal (up to 20 points potential deductions): Is the methodology described correct and convincing? Following the crossing, the long term SMA serves as a. major support (for golden cross) or resistance (for death cross) level for the stock. It is usually worthwhile to standardize the resulting values (see Standard Score). Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. The indicators should return results that can be interpreted as actionable buy/sell signals. file. The directory structure should align with the course environment framework, as discussed on the. Use the revised market simulator based on the one you wrote earlier in the course to determine the portfolio valuation. 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. Please submit the following files to Gradescope SUBMISSION: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. You are allowed unlimited submissions of the p6_indicatorsTOS_report.pdf. The report is to be submitted as. You are allowed unlimited submissions of the report.pdf file to Canvas. This file has a different name and a slightly different setup than your previous project. . import pandas as pd import numpy as np import datetime as dt import marketsimcode as market_sim import matplotlib.pyplot 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. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Both of these data are from the same company but of different wines. The average number of hours a . 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. Please note that there is no starting .zip file associated with this project. You are encouraged to perform any unit tests necessary to instill confidence in your implementation. Students are encouraged to leverage Gradescope TESTING before submitting an assignment for grading. (-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). There is no distributed template for this project. You may not use any code you did not write yourself. You will submit the code for the project. that returns your Georgia Tech user ID as a string in each . Find the probability that a light bulb lasts less than one year. 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 This is the ID you use to log into Canvas. 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 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). Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. 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. Code implementing your indicators as functions that operate on DataFrames. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. Instantly share code, notes, and snippets. Before the deadline, make sure to pre-validate your submission using Gradescope TESTING. Compute rolling mean. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. 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). This assignment is subject to change up until 3 weeks prior to the due date. Legal values are +1000.0 indicating a BUY of 1000 shares, -1000.0 indicating a SELL of 1000 shares, and 0.0 indicating NOTHING. . Note that an indicator like MACD uses EMA as part of its computation. Why there is a difference in performance: Now that we have found that our rule based strategy was not very optimum, can we apply machine learning to learn optimal rules and achieve better results. 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). Three examples of Technical indicators, namely Simple moving average, Momentum and Bollinger Bands. In the case of such an emergency, please contact the, Complete your assignment using the JDF format, then save your submission as a PDF. The indicators that are selected here cannot be replaced in Project 8. Charts should also be generated by the code and saved to files. The main part of this code should call marketsimcode as necessary to generate the plots used in the report. (-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. Note: The Theoretically Optimal Strategy does not use the indicators developed in the previous section. All work you submit should be your own. You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. Assignment 2: Optimize Something: Use optimization to find the allocations for an optimal portfolio Assignment 3: Assess Learners: Implement decision tree learner, random tree learner, and bag.