Comments (2)
Hi,
I'm following your great work :-) , and in models.py, I came across turbulence_threshold, can you please explain how did you calculate the turbulence_threshold to be 140, 100, 90 for the time periods?
thank you,
Nethanel Koler
Hey Nethanel, I just updated the turbulence model, I set the turbulence threshold to be the 90% quantile of the in-sample historical turbulence index.
Thanks,
Bruce
from finrl-trading.
ok, thanks :-)
from finrl-trading.
Related Issues (20)
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