All work you submit should be your own. Anti Slip Coating UAE Please submit the following files to Gradescope SUBMISSION: You are allowed a MAXIMUM of three (3) code submissions to Gradescope SUBMISSION. 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 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. 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). Buy-Put Option A put option is the opposite of a call. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. You may not modify or copy code in util.py. The file will be invoked run: This is to have a singleentry point to test your code against the report. . 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. Following the crossing, the long term SMA serves as a. major support (for golden cross) or resistance (for death cross) level for the stock. Please keep in mind that the completion of this project is pivotal to Project 8 completion. It is usually worthwhile to standardize the resulting values (see Standard Score). Compute rolling mean. This Golden_Cross indicator would need to be defined in Project 6 to be used in Project 8. Include charts to support each of your answers. @param points: should be a numpy array with each row corresponding to a specific query. You must also create a README.txt file that has: The secret regarding leverage and a secret date discussed in the YouTube lecture do not apply and should be ignored. Epoxy Flooring UAE; Floor Coating UAE; Self Leveling Floor Coating; Wood Finishes and Coating; Functional Coatings. This is the ID you use to log into Canvas. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. 2.The proposed packing strategy suggests a simple R-tree bulk-loading algorithm that relies only on sort-ing. A) The default rate on the mortgages kept rising. 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. You should submit a single PDF for this assignment. In the Theoretically Optimal Strategy, assume that you can see the future. 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). Provide a compelling description regarding why that indicator might work and how it could be used. Theoretically optimal (up to 20 points potential deductions): Is the methodology described correct and convincing? This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. Complete your assignment using the JDF format, then save your submission as a PDF. Code must not use absolute import statements, such as: from folder_name import TheoreticalOptimalStrategy. In Project-8, you will need to use the same indicators you will choose in this project. . We do not anticipate changes; any changes will be logged in this section. . You are not allowed to import external data. You should have already successfully coded the Bollinger Band feature: Another good indicator worth considering is momentum. By analysing historical data, technical analysts use indicators to predict future price movements. Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). In Project-8, you will need to use the same indicators you will choose in this project. Any content beyond 10 pages will not be considered for a grade. 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. Epoxy Flooring UAE; Floor Coating UAE; Self Leveling Floor Coating; Wood Finishes and Coating; Functional Coatings. You are allowed unlimited resubmissions to Gradescope TESTING. They should comprise ALL code from you that is necessary to run your evaluations. Second, you will research and identify five market indicators. For grading, we will use our own unmodified version. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. Gradescope TESTING does not grade your assignment. Thus, these trade orders can be of type: For simplicity of discussion, lets assume, we can only issue these three commands SHORT, LONG and HOLD for our stock JPM, and our portfolio can either be in these three states at a given time: Lets assume we can foresee the future price and our tasks is create a strategy that can make profit. Course Hero is not sponsored or endorsed by any college or university. All work you submit should be your own. This can create a BUY and SELL opportunity when optimised over a threshold. Here are the statistics comparing in-sample data: The manual strategy works well for the train period as we were able to tweak the different thresholds like window size, buy and selling threshold for momentum and volatility. 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. result can be used with your market simulation code to generate the necessary statistics. Gradescope TESTING does not grade your assignment. @returns the estimated values according to the saved model. When optimized beyond a, threshold, this might generate a BUY and SELL opportunity. It is not your, student number. 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. Our experiments show that the R-trees produced by the proposed strategy are highly efficient on real and synthetic data of different distributions. , where folder_name is the path/name of a folder or directory. 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. Allowable positions are 1000 shares long, 1000 shares short, 0 shares. You may not use stand-alone indicators with different parameters in Project 8 (e.g., SMA(5) and SMA(30)). 1. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. Please answer in an Excel spreadsheet showing all work (including Excel solver if used). You are encouraged to develop additional tests to ensure that all project requirements are met. At a minimum, address each of the following for each indicator: The total number of charts for Part 1 must not exceed 10 charts. It should implement testPolicy(), which returns a trades data frame (see below). You are constrained by the portfolio size and order limits as specified above. Fall 2019 ML4T Project 6 Resources. Watermarked charts may be shared in the dedicated discussion forum mega-thread alone. Here is an example of how you might implement author(): Create testproject.py and implement the necessary calls (following each respective API) to. For our discussion, let us assume we are trading a stock in market over a period of time. Using these predictions, analysts create strategies that they would apply to trade a security in order to make profit. This framework assumes you have already set up the. 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). 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. Please keep in mind that the completion of this project is pivotal to Project 8 completion. This framework assumes you have already set up the local environment and ML4T Software. To review, open the file in an editor that reveals hidden Unicode characters. 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. When a short period moving mean goes above a huge long period moving mean, it is known as a golden cross. The main method in indicators.py should generate the charts that illustrate your indicators in the report. 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). Code implementing your indicators as functions that operate on DataFrames. that returns your Georgia Tech user ID as a string in each . The file will be invoked run: entry point to test your code against the report. Usually, I omit any introductory or summary videos. 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). You may not use any libraries not listed in the allowed section above. (You may trade up to 2000 shares at a time as long as you maintain these holding requirements.). Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. file. You are encouraged to perform any unit tests necessary to instill confidence in your implementation. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. You should create the following code files for submission. be used to identify buy and sell signals for a stock in this report. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. Now consider we did not have power to see the future value of stock (that will be the case always), can we create a strategy that will use the three indicators described to predict the future. We will be utilizing SMA in conjunction with a, few other indicators listed below to optimize our trading strategy for real-world. Charts should also be generated by the code and saved to files. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Your project must be coded in Python 3.6. and run in the Gradescope SUBMISSION environment. . Do NOT copy/paste code parts here as a description. The average number of hours a . Some indicators are built using other indicators and/or return multiple results vectors (e.g., MACD uses EMA and returns MACD and Signal vectors). Once grades are released, any grade-related matters must follow the Assignment Follow-Up guidelines and process. In Project-8, you will need to use the same indicators you will choose in this project. 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. Textbook Information. You may find our lecture on time series processing, the Technical Analysis video, and the vectorize_me PowerPoint to be helpful. The. 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. Of course, this might not be the optimal ratio. . You signed in with another tab or window. Stockchart.com School (Technical Analysis Introduction), TA Ameritrade Technical Analysis Introduction Lessons, (pick the ones you think are most useful), A good introduction to technical analysis, Investopedias Introduction to Technical Analysis, Technical Analysis of the Financial Markets. You may find our lecture on time series processing, the. You are constrained by the portfolio size and order limits as specified above. 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. The JDF format specifies font sizes and margins, which should not be altered. Students are allowed to share charts in the pinned Students Charts thread alone. Ensure to cite any sources you reference and use quotes and in-line citations to mark any direct quotes. Please address each of these points/questions in your report. 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. Simple Moving average Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. Gradescope TESTING does not grade your assignment. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. 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). ) This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Include charts to support each of your answers. 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. Use only the functions in util.py to read in stock data. Simple Moving average 1. (-5 points if not), Is there a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend? : You will develop an understanding of various trading indicators and how they might be used to generate trading signals. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. 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). Rules: * trade only the symbol JPM Provide one or more charts that convey how each indicator works compellingly. (-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. D) A and C Click the card to flip Definition 6 Part 2: Theoretically Optimal Strategy (20 points) 7 Part 3: Manual Rule-Based Trader (50 points) 8 Part 4: Comparative Analysis (10 points) . This class uses Gradescope, a server-side auto-grader, to evaluate your code submission. Technical analysis using indicators and building a ML based trading strategy. The Theoretically Optimal Strategy will give a baseline to gauge your later projects performance. You can use util.py to read any of the columns in the stock symbol files. You may also want to call your market simulation code to compute statistics. Provide a chart that illustrates the TOS performance versus the benchmark. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. 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. You must also create a README.txt file that has: The following technical requirements apply to this assignment. If the report is not neat (up to -5 points). Bollinger Bands (developed by John Bollinger) is the plot of two bands two sigma away from the simple moving average. See the appropriate section for required statistics. Close Log In. Students are encouraged to leverage Gradescope TESTING before submitting an assignment for grading. 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. We refer to the theoretically optimal policy, which the learning algorithm may or may not find, as \pi^* . Please address each of these points/questions in your report. Now we want you to run some experiments to determine how well the betting strategy works. Clone with Git or checkout with SVN using the repositorys web address. It has very good course content and programming assignments . , with the appropriate parameters to run everything needed for the report in a single Python call. It should implement testPolicy(), which returns a trades data frame (see below). You may not use any code you did not write yourself. 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. Charts should be properly annotated with legible and appropriately named labels, titles, and legends. We will discover five different technical indicators which can be used to gener-, ated buy or sell calls for given asset. 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. The. This process builds on the skills you developed in the previous chapters because it relies on your ability to Charts should be properly annotated with legible and appropriately named labels, titles, and legends. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. Our Challenge Regrading will only be undertaken in cases where there has been a genuine error or misunderstanding. Transaction costs for TheoreticallyOptimalStrategy: Commission: $0.00, Impact: 0.00. No credit will be given for coding assignments that do not pass this pre-validation. You will have access to the ML4T/Data directory data, but you should use ONLY the API functions in util.py to read it. For your report, use only the symbol JPM. When utilizing any example order files, the code must run in less than 10 seconds per test case. Code provided by the instructor or is allowed by the instructor to be shared. Develop and describe 5 technical indicators.
