Spring 2020 Project 6: Indicator Evaluation - Revision history

Jfox44: /* Revisions */

2020-03-03T02:49:54Z

Revisions

2020-03-03T02:48:47Z

Data Details, Dates and Rules

2020-02-27T03:11:36Z

Theoretically Optimal Strategy

2020-02-27T03:10:21Z

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2020-02-27T03:05:22Z

Theoretically Optimal Strategy

2020-02-24T21:52:28Z

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2020-02-24T21:51:42Z

Technical Indicators

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README.txt

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2020-02-22T02:14:37Z

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 * 2/24 Added text to Technical Indicator about momentum and volatility
 * 2/26 Updated Theoretically Optimal Strategy API call example
 ==Overview==

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 * For your report, use only the symbol JPM. This will enable us to more easily compare results.
 * Use the time period January 1, 2008 to December 31 2009.
-* The out of sample/testing period is January 1, 2010 to December 31 2011.
+* <s>The out of sample/testing period is January 1, 2010 to December 31 2011.</s> Not used for this project
 * Starting cash is $100,000.
 * Allowable positions are: 1000 shares long, 1000 shares short, 0 shares.

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 Your code should implement testPolicy() as follows:
-     df_trades = testPolicy(symbol = "AAPL", sd=dt.datetime(2010, 1, 1&#41;, ed=dt.datetime(2011,12,31&#41;, sv = 100000&#41;
+    import TheoreticallyOptimalStrategy as tos
 The input parameters are:

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 * 2/21 Added README.txt instructions
 * 2/24 Added text to Technical Indicator about momentum and volatility
 ==Overview==

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 Your code should implement testPolicy() as follows:
-     df_trades = ms.testPolicy(symbol = "AAPL", sd=dt.datetime(2010, 1, 1&#41;, ed=dt.datetime(2011,12,31&#41;, sv = 100000&#41;
+     df_trades = testPolicy(symbol = "AAPL", sd=dt.datetime(2010, 1, 1&#41;, ed=dt.datetime(2011,12,31&#41;, sv = 100000&#41;
 The input parameters are:

← Older revision		Revision as of 21:51, 24 February 2020
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	Your report description of each indicator should enable someone to reproduce it just by reading the description. We want a written detailed description here, not code, however, it is OK to augment your written description with a '''pseudocode''' figure. Do NOT copy/paste code parts here as a description.		Your report description of each indicator should enable someone to reproduce it just by reading the description. We want a written detailed description here, not code, however, it is OK to augment your written description with a '''pseudocode''' figure. Do NOT copy/paste code parts here as a description.
		+
		+	You should have already successfully coded the Bollinger Band feature:
		+
		+	<PRE>
		+	bb_value[t] = (price[t] - SMA[t])/(2 * stdev[t])
		+	</PRE>
		+
		+	Two other good features worth considering are momentum and volatility.
		+
		+	<PRE>
		+	momentum[t] = (price[t]/price[t-N]) - 1
		+	</PRE>
		+
		+	Volatility is just the stdev of daily returns.
		+
		+	It is usually worthwhile to standardize the resulting values (see https://en.wikipedia.org/wiki/Standard_score).

	You are allowed to use two indicators presented in the lectures (SMA, Bollinger Bands, RSI) but the other three will need to come from outside the class material.		You are allowed to use two indicators presented in the lectures (SMA, Bollinger Bands, RSI) but the other three will need to come from outside the class material.

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 ===README.txt===
-A README.txt file that has:
+Create a README.txt file that has:
 * Description of what each file is for/does
 * explicit instructions on how to properly run your code.
 ===Report===

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 This assignment is subject to change up until 3 weeks prior to the due date. We do not anticipate changes; any changes will be logged in this section.
 * 2/21 Added links to Technical Trading video and vectorize_me powerpoint.
 ==Overview==