Skip to content

Latest commit

 

History

History
64 lines (48 loc) · 1.43 KB

todo.md

File metadata and controls

64 lines (48 loc) · 1.43 KB

TODO

Backtrader

todo

  • Add multiple stocks
  • Easily compare/view the different strategy result

Data

Get/create input data from stocks in CSV format, between dates from 20YY-MM-DD to 2018-MM-DD:

  • GOOG
  • IBM
  • APPL
  • ...

Create artificial close price data:

  • Sinus + no trend
  • Sinus + up trend
  • Sinus + down trend

Comparison Strategies

Develop the following default comparison strategies: ~~

  • Random:
  • at each time step t randomly BUY, SELL or HOLD.
  • Naive:
    • if close price at time t > close price at time t-1 then BUY.
    • elif close price at time t < close price at time t-1 then SELL.
    • else HOLD.
  • Buy&Hold ~~

Trading Strategies

  • TS1
  • TS2
  • TS3
  • TSn

Metrics

Present the following metrics for each comparison and trading strategy:

  • Calmar Ratio
  • Sharpe Ratio
  • Total Return,
  • Average Return,
  • Annualized Returns,
  • Maximum Draw Down.

TO BE ABLE TO RUN ML-ALGO

Comparison with expert recommendations

Avanza, Nordnet, Google Finance, Bloomberg etc. all give buy/sell advice about future investments.

Get and save recommendation data from different sites

Use saved data as input to ML-algo in order to determine if and to what extent the recommendations are good.

Input data

Saved data to be used as input data for ML algo.

  • save indicators and all other input data (i.e. stock data feed(s), forex, oil, etc.) to one single csv-file.

Input data