CS4646 manual strategy
Overview
In this project you will develop a trading strategy using your intuition and Technical Analysis, and test it against a stock using your market simulator. In a later project, you will use your same indicators but with Machine Learning (instead of your intuition) to create a trading strategy. We hope Machine Learning will do better than your intuition, but who knows?
Template
There is no distributed template for this project. You should create a directory for your code in ml4t/manual_strategy and make a copy of util.py there. You will have access to the data in the ML4T/Data directory but you should use ONLY the code in util.py to read it.
You should create the following code files for submission. They should comprise ALL code from you that is necessary to run your evaluations.
- indicators.py Your code that implements your indicators as functions that operate on dataframes. The "main" code in indicators.py should generate the charts that illustrate your indicators in the report.
- marketsimcode.py An improved version of your marketsim code that accepts a "trades" data frame (instead of a file). More info on the trades data frame below.
- ManualStrategy.py Code implementing a ManualStrategy object (your manual strategy). It should implement testPolicy() which returns a trades data frame (see below). The main part of this code should call marketsimcode as necessary to generate the plots used in the report.
- BestPossibleStrategy.py Code implementing a BestPossibleStrategy object (details below). It should implement testPolicy() which returns a trades data frame (see below). The main part of this code should call marketsimcode as necessary to generate the plots used in the report.
Note that we may not test your code, so we may not know if you didn't organize your code as recommended, but this arrangement will be required for later projects, so it is worthwhile getting it set up this way. The key requirement is that, if necessary, a TA should be able to run your code on a buffet machine and get the same results (e.g., statistics and charts) that we see in your report.
