Please submit the following file(s) to Canvas in PDF format only: Do not submit any other files. 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. You are constrained by the portfolio size and order limits as specified above. 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. BagLearner.py. 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. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. ML4T Final Practice Questions 5.0 (3 reviews) Term 1 / 171 Why did it become a good investment to bet against mortgage-backed securities. Code implementing a TheoreticallyOptimalStrategy object, It should implement testPolicy() which returns a trades data frame, The main part of this code should call marketsimcode as necessary to generate the plots used in the report, possible actions {-2000, -1000, 0, 1000, 2000}, # starting with $100,000 cash, investing in 1000 shares of JPM and holding that position, # # takes in a pd.df and returns a np.array. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. Please note that requests will be denied if they are not submitted using the Fall 2021 form or do not fall within the timeframes specified on the Assignment Follow-Up page. 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. An improved version of your marketsim code accepts a trades DataFrame (instead of a file). 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. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. : 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. You will have access to the data in the ML4T/Data directory but you should use ONLY . Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. Provide a compelling description regarding why that indicator might work and how it could be used. A Game-Theoretically Optimal Defense Paradigm against Traffic Analysis Attacks using Multipath Routing and Deception . If the report is not neat (up to -5 points). 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'. Any content beyond 10 pages will not be considered for a grade. The submitted code is run as a batch job after the project deadline. We hope Machine Learning will do better than your intuition, but who knows? You are allowed unlimited resubmissions to Gradescope TESTING. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. @returns the estimated values according to the saved model. Transaction costs for TheoreticallyOptimalStrategy: 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. Please keep in mind that the completion of this project is pivotal to Project 8 completion. The indicators should return results that can be interpreted as actionable buy/sell signals. Explicit instructions on how to properly run your code. It should implement testPolicy() which returns a trades data frame (see below). 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 . That means that if a stock price is going up with a high momentum, we can use this as a signal for BUY opportunity as it can go up further in future. Make sure to answer those questions in the report and ensure the code meets the project requirements. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Cannot retrieve contributors at this time. Clone with Git or checkout with SVN using the repositorys web address. Provide a chart that illustrates the TOS performance versus the benchmark. For our report, We are are using JPM stock, SMA is a type of moving mean which is created by taking the arithmetic mean, of a collection of data. See the appropriate section for required statistics. There is no distributed template for this project. (up to 3 charts per indicator). and has a maximum of 10 pages. Assignments should be submitted to the corresponding assignment submission page in Canvas. Ml4t Notes - Read online for free. 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. 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. You will have access to the data in the ML4T/Data directory but you should use ONLY the API . The approach we're going to take is called Monte Carlo simulation where the idea is to run a simulator over and over again with randomized inputs and to assess the results in aggregate. Neatness (up to 5 points deduction if not). Late work is not accepted without advanced agreement except in cases of medical or family emergencies. In addition to submitting your code to Gradescope, you will also produce a report. 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])? We can calculate Price/SMA (PSMA) values and use them to generated buy or, and above can indicate SELL. Description of what each python file is for/does. 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. For this activity, use $0.00 and 0.0 for commissions and impact, respectively. Please address each of these points/questions in your report. By analysing historical data, technical analysts use indicators to predict future price movements. To review, open the file in an editor that reveals hidden Unicode characters. Note: The Theoretically Optimal Strategy does not use the indicators developed in the previous section. 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. This file should be considered the entry point to the project. Theoretically optimal (up to 20 points potential deductions): Is the methodology described correct and convincing? To review, open the file in an editor that reveals hidden Unicode characters. 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. As max(col1) = 1 , max(col2) = 2 , max(col3) = 1, min(row1) = -1 , min(row2) = 0 , min(row3) = -1 there is not a simultaneous row min and row max a . Only use the API methods provided in that file. Code implementing your indicators as functions that operate on DataFrames. (up to -100 points), If any charts are displayed to a screen/window/terminal in the Gradescope Submission environment. More info on the trades data frame below. Include charts to support each of your answers. Your report should useJDF format and has a maximum of 10 pages. A position is cash value, the current amount of shares, and previous transactions. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. In addition to submitting your code to Gradescope, you will also produce a report. The indicators should return results that can be interpreted as actionable buy/sell signals. No packages published . 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? You may not use any other method of reading data besides util.py. Experiment 1: Explore the strategy and make some charts. The file will be invoked using the command: This is to have a singleentry point to test your code against 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. It is usually worthwhile to standardize the resulting values (see Standard Score). You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. Technical analysis using indicators and building a ML based trading strategy. Describe the strategy in a way that someone else could evaluate and/or implement it. Following the crossing, the long term SMA serves as a. major support (for golden cross) or resistance (for death cross) level for the stock. The report is to be submitted as. You will have access to the ML4T/Data directory data, but you should use ONLY the API functions in util.py to read it. Describe the strategy in a way that someone else could evaluate and/or implement it. Please note that util.py is considered part of the environment and should not be moved, modified, or copied. The report is to be submitted as report.pdf. Also note that when we run your submitted code, it should generate the charts and table. 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. Only code submitted to Gradescope SUBMISSION will be graded. In the Theoretically Optimal Strategy, assume that you can see the future. The optimal strategy works by applying every possible buy/sell action to the current positions. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. Considering how multiple indicators might work together during Project 6 will help you complete the later project. The file will be invoked. 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. Theoretically Optimal Strategy will give a baseline to gauge your later project's performance against. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. Please note that there is no starting .zip file associated with this project. Please keep in mind that completion of this project is pivotal to Project 8 completion. Assignments received after Sunday at 11:59 PM AOE (even if only by a few seconds) are not accepted without advanced agreement except in cases of medical or family emergencies. , where folder_name is the path/name of a folder or directory. Only code submitted to Gradescope SUBMISSION will be graded. Ensure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. 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). Contribute to havishc19/StockTradingStrategy development by creating an account on GitHub. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. You may create a new folder called indicator_evaluation to contain your code for this project. You are encouraged to perform any tests necessary to instill confidence in your implementation, ensure that the code will run properly when submitted for grading and that it will produce the required results. Maximum loss: premium of the option Maximum gain: theoretically infinite. The indicators selected here cannot be replaced in Project 8. 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. Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). You may not use stand-alone indicators with different parameters in Project 8 (e.g., SMA(5) and SMA(30)). This file should be considered the entry point to the project. ML4T is a good course to take if you are looking for light work load or pair it with a hard one. 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. 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). 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. for the complete list of requirements applicable to all course assignments. 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. Include charts to support each of your answers. It is not your 9 digit student number. You are encouraged to develop additional tests to ensure that all project requirements are met. . Please address each of these points/questions in your report. The Project Technical Requirements are grouped into three sections: Always Allowed, Prohibited with Some Exceptions, and Always Prohibited. 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). You must also create a README.txt file that has: The following technical requirements apply to this assignment. 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. 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. This assignment is subject to change up until 3 weeks prior to the due date. 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. Purpose: Athletes are trained to choose the pace which is perceived to be correct during a specific effort, such as the 1500-m speed skating competition. Epoxy Flooring UAE; Floor Coating UAE; Self Leveling Floor Coating; Wood Finishes and Coating; Functional Coatings. There is no distributed template for this project. You may also want to call your market simulation code to compute statistics. Please submit the following files to Gradescope SUBMISSION: Important: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. Develop and describe 5 technical indicators. Assignments received after Sunday at 11:59 PM AOE (even if only by a few seconds) are not accepted without advanced agreement except in cases of medical or family emergencies. PowerPoint to be helpful. You should submit a single PDF for this assignment. . Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. However, it is OK to augment your written description with a pseudocode figure. For large deviations from the price, we can expect the price to come back to the SMA over a period of time. In Project-8, you will need to use the same indicators you will choose in this project. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. In the case of such an emergency, please contact the Dean of Students. Please address each of these points/questions in your report. Code implementing a TheoreticallyOptimalStrategy (details below). Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. Framing this problem is a straightforward process: Provide a function for minimize() . . To review, open the file in an editor that reveals hidden Unicode characters. Performance metrics must include 4 digits to the right of the decimal point (e.g., 98.1234). Theoretically, Optimal Strategy will give a baseline to gauge your later project's performance. We hope Machine Learning will do better than your intuition, but who knows? . We encourage spending time finding and researching indicators, including examining how they might later be combined to form trading strategies. Please keep in mind that the completion of this project is pivotal to Project 8 completion. Zipline is a Pythonic event-driven system for backtesting, developed and used as the backtesting and live-trading engine by crowd-sourced investment fund Quantopian. Description of what each python file is for/does. You may not modify or copy code in util.py. : You will develop an understanding of various trading indicators and how they might be used to generate trading signals. We do not anticipate changes; any changes will be logged in this section. Since the above indicators are based on rolling window, we have taken 30 Days as the rolling window size. If this had been my first course, I likely would have dropped out suspecting that all . This copyright statement should not be removed, We do grant permission to share solutions privately with non-students such, as potential employers. 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. C) Banks were incentivized to issue more and more mortgages. Let's call it ManualStrategy which will be based on some rules over our indicators. If you submit your code to Gradescope TESTING and have not also submitted your code to Gradescope SUBMISSION, you will receive a zero (0). Suppose that Apple president Steve Jobs believes that Macs are under priced He, then looking to see which set of policies gives the highest average income, Personnel at other agencies and departments may contact you in your role as the, b Identify which row of the table is correct Smart key microchip Card magnetic, Question 3 of 20 50 50 Points Dunn asserts that intellectual property rights are, However as the calls for state intervention in the socio economic sphere grew, ANSWERS 1 B Choice B indicates that overall it may not have been financially, Example A bug that costs 100 to fix in the business requirements phase will cost, In order for a student to transfer any credits earned in a Tri County course to, 72002875-E32A-4579-B94A-222ACEF29ACD.jpeg, 5DCA7CD3-6D48-4218-AF13-43EA0D99970D.jpeg, Long question is containing 04 marks Question 7 Explain OSI Model Which layer is, FPO6001_CanalesSavannah_Assessment1-1.docx, Please answer the questions attached in the Word Document. 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).