[et_pb_section fb_built=”1″ _builder_version=”4.4.5″][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.9.7″ header_font=”|700||on|||||”]<\/p>\n
[\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.4.5″ header_2_font=”|||on|on||||”]<\/p>\n
This assignment is subject to change up until 3 weeks prior to the due date. We do not anticipate changes; any changes will be logged in this section.<\/span><\/p>\n [\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.9.7″ header_2_font=”|||on|on||||”]<\/p>\n In this project, you will develop technical indicators and a Theoretically Optimal Strategy that will be the ground layer of a later project. The technical indicators you develop here will be utilized in your later project to devise an intuition-based trading strategy and a Machine Learning based trading strategy. Theoretically Optimal Strategy will give a baseline to gauge your later project\u2019s performance. We hope Machine Learning will do better than your intuition, but who knows? You will submit the code for the project in Gradescope SUBMISSION. The report will be submitted to Canvas.<\/span>\u00a0<\/span><\/p>\n Please keep in mind that the completion of this project is pivotal to Project 8 completion. <\/span><\/b>The indicators selected here cannot be replaced in Project 8<\/span><\/b>. We encourage spending time finding and research indicators, including examining how they might later be combined to form trading strategies. Considering how multiple indicators might work together during Project 6 will help you complete the later project.<\/span><\/b>\u00a0<\/span><\/p>\n [\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.9.7″ header_2_font=”|||on|on||||”]<\/p>\n Please note that there is no starting .zip file associated with this project. You should create a directory for your code in ml4t\/indicator_evaluation. The directory structure should align with the course environment framework, as discussed on the <\/span>local environment<\/span><\/a> and <\/span>ML4T Software<\/span><\/a> pages.\u00a0<\/span>\u00a0<\/span><\/p>\n You will have access to the ML4T\/Data directory data, but you should use ONLY the API functions in util.py to read it.<\/span>\u00a0<\/span><\/p>\n [\/et_pb_text][et_pb_image src=”http:\/\/lucylabs.gatech.edu\/ml4t\/wp-content\/uploads\/2021\/06\/p6_dir.png” title_text=”p6_dir” align=”center” _builder_version=”4.9.7″ _module_preset=”default”][\/et_pb_image][et_pb_text _builder_version=”4.9.7″ _module_preset=”default”]<\/p>\n You should create the following code files for submission. They should comprise ALL code from you that is necessary to run your evaluations.<\/span>\u00a0<\/span><\/p>\n [\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.9.7″ header_2_font=”|||on|on||||”]<\/p>\n [\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=”4.4.5″][et_pb_column type=”4_4″ _builder_version=”4.4.5″][et_pb_text _builder_version=”4.9.7″ header_2_font=”|||on|on||||”]<\/p>\n Develop and describe 5 technical indicators. You may find our lecture on time series processing, the <\/span>Technical Analysis<\/span><\/a> video, and the <\/span>vectorize_me<\/span><\/a> PowerPoint to be helpful. For each indicator, you should create a single, compelling chart (with proper title, legend, and axis labels) that illustrates the indicator (you can use sub-plots to showcase different aspects of the indicator).<\/span>\u00a0<\/span><\/p>\n For example, you might create a chart showing the stock’s price history, along with \u201chelper data\u201d (such as upper and lower Bollinger Bands) and the value of the indicator itself. Another example: If you were using price\/SMA as an indicator, you would want to create a chart with 3 lines: Price, SMA, Price\/SMA. To facilitate visualization of the indicator, you might normalize the data to 1.0 at the start of the date range (i.e., divide price[t] by price[0]).<\/span>\u00a0<\/span><\/p>\n In your report (described below), a description of each indicator should enable someone to reproduce it just by reading the description. We want a written detailed description here, not code. However, it is OK to augment your written description with a <\/span>pseudocode<\/span><\/b> figure. <\/span>Do NOT copy\/paste code parts here as a description.<\/span><\/b>\u00a0<\/span><\/p>\n \u00a0<\/span>You should have already successfully coded the Bollinger Band feature:<\/span>\u00a0<\/span><\/p>\n [\/et_pb_text][et_pb_dmb_code_snippet code=”YmJfdmFsdWVbdF0gPSAocHJpY2VbdF0gLSBTTUFbdF0pLygyICogc3RkZXZbdF0pIA==” language=”python” _builder_version=”4.9.7″ _module_preset=”default”]YmJfdmFsdWVbdF0gPSAocHJpY2VbdF0gLSBTTUFbdF0pLygyICogc3RkZXZbdF0pIA==[\/et_pb_dmb_code_snippet][et_pb_text _builder_version=”4.9.7″ _module_preset=”default”]<\/p>\nAbout the Project<\/h2>\n
Starter Code<\/h2>\n
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Data Details, Dates & Rules<\/h2>\n
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Tasks & Requirements<\/h2>\n
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Part 1: Technical Indicators<\/h3>\n