LSTM Regression Long Only Strategy
Автор: Tertiary Courses
Загружено: 2022-06-12
Просмотров: 286
Описание:
This bitesize video tutorial is an update from previous video • LSTM Classification Long Only Strategy . We modified the LSTM model from classification to regression. In addition, we found the rolling scaling window has a big impact of no of trades. We increased the rolling scaling window from 2 months to 8 months. We found the Sharpe ratio has improved to 0.89 and the strategy return is similar to the buy and hold benchmark.
The code can be downloaded below
https://github.com/tertiarycourses/Te...
Recommended trading platforms
MooMoo https://j.moomoo.com/00i5px
Recommended courses on Algorithmic Trading
1. Basic Algorithmic Trading with Python
https://www.tertiarycourses.com.sg/py...
https://www.tertiarycourses.com.my/py...
https://www.tertiarycourses.com.gh/py...
2. Machine Learning for Algorithmic Trading
https://www.tertiarycourses.com.sg/ma...
https://www.tertiarycourses.com.my/ma...
https://www.tertiarycourses.com.gh/ma...
Other training courses from Tertiary Courses
https://www.tertiarycourses.com.sg/
https://www.tertiarycourses.com.my/
https://www.tertiarycourses.com.gh/
** Note that this video is purely for educational purpose. It is not an investment advise.
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