My submission to the Oct21 challenge #3
Conversation
There was a problem hiding this comment.
Hi Gloria, 🙂
Thank you for working on this notebook. It feels like a bit more time should be dedicated to making the code clearer and better documented. Also would be good to see more of your comments throughout the notebook.
Will set up an interview.
- Long functions and classes could be moved to separate .py files.
- Good forecast visualisations added.
- Strategy testing logic should be adjusted to eliminate a lookahead bias.
- "acceleration seems to provide worse results than velocity" - it would be interesting to discuss this observation.
| @@ -0,0 +1,1124 @@ | |||
| { | |||
There was a problem hiding this comment.
I see that the whole code is in the jupyter notebook, and not in separate .py files. But I see you've split the functionality into functions and classes in various cells.
| "metadata": {}, | ||
| "execution_count": 172 |
There was a problem hiding this comment.
Good to see separate components forecast visualisations here.
| "df = pd.DataFrame(fullarray, columns = ['Date','Open','High','Low','Close','Adj Close','Volume','VWAP','Pct','Returns','pPos','pVel','pAcc','bPos','bVel','bAcc'])\n", | ||
| "df['Date'] = pd.to_datetime(df['Date'] - epoch, unit='D')" |
There was a problem hiding this comment.
The main dataframe has a lot of columns here. It can be split into smaller ones to make it easier to follow the logic behind calculations.
| " df.loc[index, 'position'] = 1\n", | ||
| " position = 0\n", | ||
| "alloc = 100\n", | ||
| "df['net_position'] = df.position.cumsum().shift().fillna(0)\n", |
There was a problem hiding this comment.
We see explosive returns in this backtest because we're assessing the model performance on the same data it was trained on.
We should have rather used a rolling window to train, get the forecast for the next observation (or check the components on the current observation) and trade based on it.
| "**4. CONSTRUCT TRADING STRATEGY FOR THE END USER**\n", | ||
| "\n", | ||
| "Here I recap all the libraries used and functions created, so that the final user can just call a function, enter the symbol he is interested into and the start and end date of the period he is looking into" |
There was a problem hiding this comment.
This final code piece could be a bit tidier and better commented.
2 participants
No description provided.