BT4013

Prerequiste Python 3.8 Anaconda (for setting up of VE)

Installation guide

Setting up the virtual environment

• Create conda environment conda create -n bt4013 python=3.8
• Activate environment conda activate bt4013
• Install dependencies pip install -r requirements.txt
• Execute the main python file python main.py

Running XGBoost Model

• python xgb_model.py

Running ARIMA Model

Due to the large size of saved ARIMA model, The saved models will not be in this repository. As such, there is a need to train and fit models before running the ARIMA models for forecasting and evaluation

Fit ARIMA models

• python ARIMA.py
• Models and in-sample predictions will be saved under ARIMA folder which will be accessed when performing evaluation of strategies on main.py

Evaluate ARIMA models on trading system

• Set strategy to arima in main.py
• Run main.py