theoretically optimal strategy ml4t theoretically optimal strategy ml4t

No credit will be given for coding assignments that fail in Gradescope SUBMISSION and failed to pass this pre-validation in Gradescope TESTING. , where folder_name is the path/name of a folder or directory. You should implement a function called author() that returns your Georgia Tech user ID as a string in each .py file. 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). Code implementing a TheoreticallyOptimalStrategy object (details below). More info on the trades data frame is below. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. It also involves designing, tuning, and evaluating ML models suited to the predictive task. You may find our lecture on time series processing, the. Charts should also be generated by the code and saved to 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. Create testproject.py and implement the necessary calls (following each respective API) to indicators.py and TheoreticallyOptimalStrategy.py, with the appropriate parameters to run everything needed for the report in a single Python call. In the case of such an emergency, please, , then save your submission as a PDF. diversified portfolio. View TheoreticallyOptimalStrategy.py from CS 4646 at Kenesaw Secondary School. For large deviations from the price, we can expect the price to come back to the SMA over a period of time. 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 refer to the theoretically optimal policy, which the learning algorithm may or may not find, as \pi^* . You may also want to call your market simulation code to compute statistics. Password. 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. You should submit a single PDF for the report portion of the assignment. Languages. Explicit instructions on how to properly run your code. No credit will be given for coding assignments that do not pass this pre-validation. The indicators should return results that can be interpreted as actionable buy/sell signals. You may also want to call your market simulation code to compute statistics. Maximum loss: premium of the option Maximum gain: theoretically infinite. Create a Theoretically optimal strategy if we can see future stock prices. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. Please address each of these points/questions in your report. (The indicator can be described as a mathematical equation or as pseudo-code). egomaniac with low self esteem. Also note that when we run your submitted code, it should generate the charts and table. The implementation may optionally write text, statistics, and/or tables to a single file named p6_results.txt or p6_results.html. Trading of a stock, in its simplistic form means we can either sell, buy or hold our stocks in portfolio. 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. In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project. This class uses Gradescope, a server-side autograder, to evaluate your code submission. If simultaneously have a row minimum and a column maximum this is an example of a saddle point solution. indicators, including examining how they might later be combined to form trading strategies. 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. This is the ID you use to log into Canvas. We do not anticipate changes; any changes will be logged in this section. Transaction costs for TheoreticallyOptimalStrategy: In the Theoretically Optimal Strategy, assume that you can see the future. 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). ) About. The tweaked parameters did not work very well. : You will develop an understanding of various trading indicators and how they might be used to generate trading signals. You are not allowed to import external data. Your report and code will be graded using a rubric design to mirror the questions above. (-5 points if not), Is there a chart for the indicator that properly illustrates its operation, including a properly labeled axis and legend? Learn more about bidirectional Unicode characters. Because it produces a collection of points that are an, average of values before that moment, its also known as a rolling mean. Citations within the code should be captured as comments. () (up to -100 if not), All charts must be created and saved using Python code. 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. 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 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. # Curr Price > Next Day Price, Price dipping so sell the stock off, # Curr Price < Next Day Price, stock price improving so buy stock to sell later, # tos.testPolicy(sd=dt.datetime(2010,1,1), ed=dt.datetime(2011,12,31)). 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. Students, and other users of this template code are advised not to share it with others, or to make it available on publicly viewable websites including repositories, such as github and gitlab. (up to -100 points), If any charts are displayed to a screen/window/terminal in the Gradescope Submission environment. Watermarked charts may be shared in the dedicated discussion forum mega-thread alone. def __init__ ( self, learner=rtl. You are constrained by the portfolio size and order limits as specified above. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. . For grading, we will use our own unmodified version. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. We have you do this to have an idea of an upper bound on performance, which can be referenced in Project 8. 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). The Project Technical Requirements are grouped into three sections: Always Allowed, Prohibited with Some Exceptions, and Always Prohibited. 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])? For this activity, use $0.00 and 0.0 for commissions and impact, respectively. Provide a chart that illustrates the TOS performance versus the benchmark. 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. Note: The Sharpe ratio uses the sample standard deviation. SUBMISSION. All charts must be included in the report, not submitted as separate files. You are constrained by the portfolio size and order limits as specified above. BagLearner.py. The report is to be submitted as p6_indicatorsTOS_report.pdf. 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. You may also want to call your market simulation code to compute statistics. You will submit the code for the project in Gradescope SUBMISSION. This is an individual assignment. Please keep in mind that the completion of this project is pivotal to Project 8 completion. See the Course Development Recommendations, Guidelines, and Rules for the complete list of requirements applicable to all course assignments. If you submit your code to Gradescope TESTING and have not also submitted your code to Gradescope SUBMISSION, you will receive a zero (0). Once you are satisfied with the results in testing, submit the code to Gradescope SUBMISSION. You may also want to call your market simulation code to compute statistics. You signed in with another tab or window. specifies font sizes and margins, which should not be altered. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. No credit will be given for code that does not run in the Gradescope SUBMISSION environment. Theoretically Optimal Strategy will give a baseline to gauge your later projects performance. Please refer to the Gradescope Instructions for more information. For your report, use only the symbol JPM. (-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). Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. 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). This is the ID you use to log into Canvas. import datetime as dt import pandas as pd import numpy as np from util import symbol_to_path,get_data def The report will be submitted to Canvas. You may set a specific random seed for this assignment. Bollinger Bands (developed by John Bollinger) is the plot of two bands two sigma away from the simple moving average. A) The default rate on the mortgages kept rising. 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? Readme Stars. Legal values are +1000.0 indicating a BUY of 1000 shares, -1000.0 indicating a SELL of 1000 shares, and 0.0 indicating NOTHING. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. Note: The format of this data frame differs from the one developed in a prior project. Any content beyond 10 pages will not be considered for a grade. When a short period moving mean goes above a huge long period moving mean, it is known as a golden cross. We hope Machine Learning will do better than your intuition, but who knows? Your report should useJDF format and has a maximum of 10 pages. You may create a new folder called indicator_evaluation to contain your code for this project. You are constrained by the portfolio size and order limits as specified above. 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. (-2 points for each item if not), Is the required code provided, including code to recreate the charts and usage of correct trades DataFrame? Charts should be properly annotated with legible and appropriately named labels, titles, and legends. You may not use any code you did not write yourself. Provide one or more charts that convey how each indicator works compellingly. Please submit the following file(s) to Canvas in PDF format only: Do not submit any other files. This is the ID you use to log into Canvas. 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). However, it is OK to augment your written description with a pseudocode figure. and has a maximum of 10 pages. If this had been my first course, I likely would have dropped out suspecting that all . Use the revised market simulator based on the one you wrote earlier in the course to determine the portfolio valuation. 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. You are constrained by the portfolio size and order limits as specified above. It should implement testPolicy(), which returns a trades data frame (see below). ONGOING PROJECTS; UPCOMING PROJECTS; united utilities jobs The report is to be submitted as p6_indicatorsTOS_report.pdf. 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. Theoretically, Optimal Strategy will give a baseline to gauge your later project's performance. If the report is not neat (up to -5 points). ML4T is a good course to take if you are looking for light work load or pair it with a hard one. (The indicator can be described as a mathematical equation or as pseudo-code). The indicators selected here cannot be replaced in Project 8. The submitted code is run as a batch job after the project deadline. This process builds on the skills you developed in the previous chapters because it relies on your ability to Make sure to answer those questions in the report and ensure the code meets the project requirements. In Project-8, you will need to use the same indicators you will choose in this project. Charts should also be generated by the code and saved to files. Complete your report using the JDF format, then save your submission as a 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). We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. 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. 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. To facilitate visualization of the indicator, you might normalize the data to 1.0 at the start of the date range (i.e., divide price[t] by price[0]). Buy-Put Option A put option is the opposite of a call. Deductions will be applied for unmet implementation requirements or code that fails to run. You are not allowed to import external data. Your project must be coded in Python 3.6. and run in the Gradescope SUBMISSION environment. For your report, use only the symbol JPM. Provide a chart that illustrates the TOS performance versus the benchmark. In the case of such an emergency, please contact the Dean of Students. Experiment 1: Explore the strategy and make some charts. 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). You are allowed unlimited resubmissions to Gradescope TESTING. The average number of hours a . In addition to submitting your code to Gradescope, you will also produce a report. This Golden_Cross indicator would need to be defined in Project 6 to be used in Project 8. 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'. Floor Coatings. All work you submit should be your own. 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. Calling testproject.py should run all assigned tasks and output all necessary charts and statistics for your report. Please submit the following file(s) to Canvas in PDF format only: You are allowed unlimited submissions of 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). 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. Please address each of these points/questions in your report. be used to identify buy and sell signals for a stock in this report. At a minimum, address each of the following for each indicator: The total number of charts for Part 1 must not exceed 10 charts. You may find our lecture on time series processing, the. 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. 0 stars Watchers. stephanie edwards singer niece. These should be incorporated into the body of the paper unless specifically required to be included in an appendix. A Game-Theoretically Optimal Defense Paradigm against Traffic Analysis Attacks using Multipath Routing and Deception . Charts should be properly annotated with legible and appropriately named labels, titles, and legends. Once grades are released, any grade-related matters must follow the. You are constrained by the portfolio size and order limits as specified above. In the Theoretically Optimal Strategy, assume that you can see the future. TheoreticallyOptimalStrategy.pyCode implementing a TheoreticallyOptimalStrategy object (details below). The. 1 TECHNICAL INDICATORS We will discover five different technical indicators which can be used to gener- ated buy or sell calls for given asset. 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. Create a set of trades representing the best a strategy could possibly do during the in-sample period using JPM. All work you submit should be your own. for the complete list of requirements applicable to all course assignments. An improved version of your marketsim code accepts a trades DataFrame (instead of a file). The report is to be submitted as report.pdf. Backtest your Trading Strategies. The optimal strategy works by applying every possible buy/sell action to the current positions. You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. # def get_listview(portvals, normalized): You signed in with another tab or window. Charts should also be generated by the code and saved to files. While Project 6 doesnt need to code the indicators this way, it is required for Project 8. The. C) Banks were incentivized to issue more and more mortgages. The following textbooks helped me get an A in this course: Develop and describe 5 technical indicators. This is a text file that describes each .py file and provides instructions describing how to run your code. You may not use an indicator in Project 8 unless it is explicitly identified in Project 6. 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). 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 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. Topics: Information processing, probabilistic analysis, portfolio construction, generation of market orders, KNN, random forests. You will not be able to switch indicators in Project 8. However, sharing with other current or future, students of CS 7646 is prohibited and subject to being investigated as a, -----do not edit anything above this line---, # this is the function the autograder will call to test your code, # NOTE: orders_file may be a string, or it may be a file object. They should comprise ALL code from you that is necessary to run your evaluations. specifies font sizes and margins, which should not be altered. In the case of such an emergency, please contact the Dean of Students. The file will be invoked run: This is to have a singleentry point to test your code against the report. Develop and describe 5 technical indicators. This file has a different name and a slightly different setup than your previous project. Not submitting a report will result in a penalty. This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. Provide one or more charts that convey how each indicator works compellingly. This length is intentionally set, expecting that your submission will include diagrams, drawings, pictures, etc. Use the revised market simulator based on the one you wrote earlier in the course to determine the portfolio valuation. For this activity, use $0.00 and 0.0 for commissions and impact, respectively. In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. A tag already exists with the provided branch name. Compare and analysis of two strategies. Learn more about bidirectional Unicode characters. We hope Machine Learning will do better than your intuition, but who knows? Compute rolling mean. 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). The main part of this code should call marketsimcode as necessary to generate the plots used in the report. Please note that there is no starting .zip file associated with this project. The library is used extensively in the book Machine Larning for . You are allowed unlimited submissions of the report.pdf file to Canvas. 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 An indicator can only be used once with a specific value (e.g., SMA(12)). Charts should be properly annotated with legible and appropriately named labels, titles, and legends. . Charts should be properly annotated with legible and appropriately named labels, titles, and legends. The algorithm first executes all possible trades . Please note that util.py is considered part of the environment and should not be moved, modified, or copied. Considering how multiple indicators might work together during Project 6 will help you complete the later project. 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 In the Theoretically Optimal Strategy, assume that you can see the future. SMA can be used as a proxy the true value of the company stock. (Round to four decimal places) Find the, What is the value of the autocorrelation function of lag order 0? In addition to submitting your code to Gradescope, you will also produce a report. Do NOT copy/paste code parts here as a description. 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. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. Clone with Git or checkout with SVN using the repositorys web address. Introduce and describe each indicator you use in sufficient detail that someone else could reproduce it. For our discussion, let us assume we are trading a stock in market over a period of time. There is no distributed template for this project. 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. Note that an indicator like MACD uses EMA as part of its computation. (up to 3 charts per indicator). We encourage spending time finding and research. Provide a compelling description regarding why that indicator might work and how it could be used. Describe the strategy in a way that someone else could evaluate and/or implement it. For example, Bollinger Bands alone does not give an actionable signal to buy/sell easily framed for a learner, but BBP (or %B) does. 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. We hope Machine Learning will do better than your intuition, but who knows? that returns your Georgia Tech user ID as a string in each .