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 also want to call your market simulation code to compute statistics. As will be the case throughout the term, the grading team will work as quickly as possible to provide project feedback and grades. 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. Readme Stars. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. The file will be invoked using the command: This is to have a singleentry point to test your code against the report. Learning how to invest is a life skill, as essential as learning how to use a computer, and is one of the key pillars to retiring comfortably. 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 is an individual assignment. You may find our lecture on time series processing, the Technical Analysis video, and the vectorize_me PowerPoint to be helpful. Please submit the following file to Canvas in PDF format only: Do not submit any other files. This is a text file that describes each .py file and provides instructions describing how to run your code. 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. Languages. In Project-8, you will need to use the same indicators you will choose in this project. Deductions will be applied for unmet implementation requirements or code that fails to run. It is not your 9 digit student number. You will have access to the ML4T/Data directory data, but you should use ONLY the API functions in util.py to read it. (up to -100 points), If any charts are displayed to a screen/window/terminal in the Gradescope Submission environment. You are allowed unlimited resubmissions to Gradescope TESTING. It also involves designing, tuning, and evaluating ML models suited to the predictive task. 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). I need to show that the game has no saddle point solution and find an optimal mixed strategy. Performance metrics must include 4 digits to the right of the decimal point (e.g., 98.1234), You are allowed unlimited resubmissions to Gradescope TESTING. () (up to -100 if not), All charts must be created and saved using Python code. 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. Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. Maximum loss: premium of the option Maximum gain: theoretically infinite. June 10, 2022 Create a Theoretically optimal strategy if we can see future stock prices. which is holding the stocks in our portfolio. A tag already exists with the provided branch name. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. For this activity, use $0.00 and 0.0 for commissions and impact, respectively. The main method in indicators.py should generate the charts that illustrate your indicators in the report. In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project (i.e., project 8). This class uses Gradescope, a server-side auto-grader, to evaluate your code submission. Any content beyond 10 pages will not be considered for a grade. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Introduces machine learning based trading strategies. Gradescope TESTING does not grade your assignment. You will not be able to switch indicators in Project 8. diversified portfolio. Momentum refers to the rate of change in the adjusted close price of the s. It can be calculated : Momentum[t] = (price[t] / price[t N])-1. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. 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. On OMSCentral, it has an average rating of 4.3 / 5 and an average difficulty of 2.5 / 5. The implementation may optionally write text, statistics, and/or tables to a single file named p6_results.txt or p6_results.html. Once grades are released, any grade-related matters must follow the Assignment Follow-Up guidelines and process. 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. However, it is OK to augment your written description with a. 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. @returns the estimated values according to the saved model. Just another site. 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. 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. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. 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 should create the following code files for submission. We do not anticipate changes; any changes will be logged in this section. 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. Here are my notes from when I took ML4T in OMSCS during Spring 2020. This movement inlines with our indication that price will oscillate from SMA, but will come back to SMA and can be used as trading opportunities. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. It should implement testPolicy(), which returns a trades data frame (see below). Are you sure you want to create this branch? 7 forks Releases No releases published. The report is to be submitted as p6_indicatorsTOS_report.pdf. 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. 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. Assignments should be submitted to the corresponding assignment submission page in Canvas. Code implementing a TheoreticallyOptimalStrategy (details below). We want a written detailed description here, not code. You should implement a function called author() that returns your Georgia Tech user ID as a string in each .py file. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. result can be used with your market simulation code to generate the necessary statistics. Your report should useJDF format and has a maximum of 10 pages. It is usually worthwhile to standardize the resulting values (see, https://en.wikipedia.org/wiki/Standard_score. 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). . We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. Usually, I omit any introductory or summary videos. 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. (The indicator can be described as a mathematical equation or as pseudo-code). In Project-8, you will need to use the same indicators you will choose in this project. 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. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. 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. This assignment is subject to change up until 3 weeks prior to the due date. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. Create a Theoretically optimal strategy if we can see future stock prices. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. You also need five electives, so consider one of these as an alternative for your first. Code in Gradescope SUBMISSION must not generate any output to the screen/console/terminal (other than run-time warning messages) when verbose = False. All work you submit should be your own. 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). 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). For your report, use only the symbol JPM. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Our Challenge Please note that there is no starting .zip file associated with this project. Students are allowed to share charts in the pinned Students Charts thread alone. 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. def __init__ ( self, learner=rtl. 0 stars Watchers. By making several approximations to the theoretically-justified procedure, we develop a practical algorithm, called Trust Region Policy Optimization (TRPO). For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. Code implementing a TheoreticallyOptimalStrategy (details below). Describe how you created the strategy and any assumptions you had to make to make it work. In Project-8, you will need to use the same indicators you will choose in this project. Include charts to support each of your answers. The. We have applied the following strategy using 3 indicators : Bollinger Bands, Momentum and Volatility using Price Vs SMA. 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. You should implement a function called author() that returns your Georgia Tech user ID as a string in each .py file. You should create a directory for your code in ml4t/indicator_evaluation. The secret regarding leverage and a secret date discussed in the YouTube lecture do not apply and should be ignored. Here is an example of how you might implement author(): Create testproject.py and implement the necessary calls (following each respective API) to. In addition to submitting your code to Gradescope, you will also produce a report. Three examples of Technical indicators, namely Simple moving average, Momentum and Bollinger Bands. We encourage spending time finding and researching indicators, including examining how they might later be combined to form trading strategies. After that, we will develop a theoretically optimal strategy and. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. In the case of such an emergency, please, , then save your submission as a PDF. A Game-Theoretically Optimal Defense Paradigm against Traffic Analysis Attacks using Multipath Routing and Deception . Include charts to support each of your answers. You may set a specific random seed for this assignment. Transaction costs for TheoreticallyOptimalStrategy: Commission: $0.00, Impact: 0.00. You are not allowed to import external data. . All work you submit should be your own. 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). Assignments should be submitted to the corresponding assignment submission page in Canvas. Not submitting a report will result in a penalty. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. As an, Please solve these questions.. PBL SESSION 1: REVENUE CYCLE ZARA Son Bhd is a well-known manufacturing company supplying Baju Kurung and Baju Melayu, a traditional costume of the Malays. The report is to be submitted as p6_indicatorsTOS_report.pdf. Code implementing your indicators as functions that operate on DataFrames. The report is to be submitted as. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. You will not be able to switch indicators in Project 8. 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. 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. 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 report.pdf. 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). Here is an example of how you might implement, Create testproject.py and implement the necessary calls (following each respective API) to, , with the appropriate parameters to run everything needed for the report in a single Python call. Considering how multiple indicators might work together during Project 6 will help you complete the later project. Include charts to support each of your answers. Once you are satisfied with the results in testing, submit the code to Gradescope SUBMISSION. , with the appropriate parameters to run everything needed for the report in a single Python call. To review, open the file in an editor that reveals hidden Unicode characters. This can create a BUY and SELL opportunity when optimised over a threshold. For your report, use only the symbol JPM. . It is not your 9 digit student number. You may find the following resources useful in completing the project or providing an in-depth discussion of the material. 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). Note that an indicator like MACD uses EMA as part of its computation. 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. 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. PowerPoint to be helpful. This file should be considered the entry point to the project. 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. TheoreticallyOptimalStrategy.py Code implementing a TheoreticallyOptimalStrategy object (details below).It should implement testPolicy () which returns a trades data frame (see below). Make sure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. This file has a different name and a slightly different setup than your previous project. The following textbooks helped me get an A in this course: The report will be submitted to Canvas. Code implementing your indicators as functions that operate on DataFrames. You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. A tag already exists with the provided branch name. 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.
theoretically optimal strategy ml4t