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cpeg4901

Author - myworldbox

This code exemplifies indefatigable effort.

Machine Learning-based Quantitative Trading Strategies

Python + Tensorflow + Sklearn

Overview

My Strategy is to use all of the models from [ sklearn ] to predict the Decision columns.

I have modularized scalers, models, and metrics into arrays to study their collective impacts on the dataset. I have included an additional dataset from Yahoo Finance and applied the same concept to data with a different shape.

For Yahoo finance data, I make the trading problem a binary classification problem.

My models analyze the closing price of the historical market.

If the previous closing price is lower than the current closing price, it is classified as a buying opportunity and vice versa.

To minimize spreads, I only try assets with the top 10 market capitalization.

Only high liquidity markets are being tested.