wywongbd / pairstrade-fyp-2019 Goto Github PK
View Code? Open in Web Editor NEWWe tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.
License: MIT License
We tested 3 approaches for Pair Trading: distance, cointegration and reinforcement learning approach.
License: MIT License
Hello, is there any reason why you used norm log prices and not simply normalized prices?
Hi,
Do you have any idea why there might be data leakage? ie Do a shift in returns?
And would you have any details about the live trading results! Just curious! Also, want to say awesome experiment!
Kind Regards,
Zbanga
Hi Wen Yan,
I enjoy playing with your software. I was wondering if you can help me a little bit.
So I have gotten to the point where I have created and saved the model (trading model without commission file). I am using my own price data (Compustat WRDS).
What is the next steps for me to evaluate the strategies, in the jupyter_py folder there is nothing distinctly related to reinforcement learning correct? In the 8b-Generate-Baseline-Plots.ipynb folder I can see the following as input, "final_report_outputs/test_energy_1.txt" but I don’t know how to first of all how to generate the data and that .txt file, what python code should I run? Any help would be greatly appreciated. If you can metion the steps I have to follow.
To show you to what point I have progressed to feel free to see my Colab file https://colab.research.google.com/drive/1QknCC_rfTm8eqa3-oo3bK3GXCTEOLIOH
Best regards, and good work,
Derek Snow
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