amor71 / LiuAlgoTrader

Framework for algorithmic trading

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ML support

amor71 opened this issue · comments

Is your feature request related to a problem? Please describe.
some strategies seem to work well on certain stocks and certain setups, and less for others.

Describe the solution you'd like
extend market miner for off-market calculation of a NN that will predict the affinity of stock to a specific strategy

Describe alternatives you've considered
direct caluclatuon

step one: normalize strategy decisions on buy/sell by tracking profit (or loss) on the open positions.

how-to:

  1. Add P&L DB table,
  2. Add a consolidation task, running at the end of the trading day.

Tracked here
Release as 0.0.80

0.0.80 release!

step two: calculating strategy p-value.

to be released as 0.0.82

step three: high-level (R)NN model description and feedback look architecture

To be released as 0.0.90, to Pull Request

ML Design + LSTM notebook was released as part of 0.0.86 and is not available. The next steps will be published later.

Evolve LSTM models to Attention models

Stale issue message

still WIP