ETFGlobal

Here are some instructions:

data

Since this is a project that I'm working with a company, I built up a data IO to get special data from ftp owned by this company.

infrastructure

env_context.py contains back-testing infrastructures. strategy.py has some models and later we can add other models here. And some basic order and stoploss functions have been added here.

strategy

strategy_demo.py is a specific sample strategy. trains.csv is a training set log. feature.csv is the total features that we have.

results

And finally, you can find results (performance and position recording)in res/