rachnog / advanced-deep-trading Goto Github PK
View Code? Open in Web Editor NEWMostly experiments based on "Advances in financial machine learning" book
Mostly experiments based on "Advances in financial machine learning" book
In "get_meta_barier()" I beleive the greater than here
if min_ret_ups[0] > min_ret_downs[0]:
should be less than.
I'm reading as 'min_ret_situation[0]' is up occurs first and 'min_ret_situation[1]' is down occurs first. So if min_ret_ups[0] > min_ret_downs[0]:
is true than a significant down occurs first but 'min_ret_situation[0]' is set to 1.
If I have misunderstood or missed something apologies.
Quotes in filename are invalid in windows. Would it be possible to rename file "Normal" bars.ipynb to something else, perhaps Normal bars.ipynb so that the repo would be accessible for windows users?
Also, is "Normal" bars.ipynb the corrected code referenced as being corrected by mpugna?
Thank you
Thank you for sharing your code.
In file backtest_metrics\Baseline and Metrics.ipynb,you use close price to construct feature. I think we should use adjclose to construct feature. Am I right?
Hi ,
I am working on my own stock price prediction in HK/China equity market. For me, I did have experience on coding tick/volume/dollar bars from scratch.
Tick imbalance bar is very impressive and fresh concept for me. I just wonder, how to determine the parameters of the TIB in the function?
my datasets of individual stocks contain at least 1 millions ticks within 2 weeks time horizon.
Would you please provide some guideline for me ?
Highly appreciate
Marcus
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