nicolofp / PCA-Trading

R code to make some trading strategy using Principal Component Analysis

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PCA Trading Project

R codes to produce trading strategy using Principal Component Analysis (PCA). In addition to traditional PCA approach we will also explore Constrained Principal Component Analysis (CPCA) where we add a non-negativity constrains to the usuals PCA scores.

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R code to make some trading strategy using Principal Component Analysis

License:MIT License


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Language:R 100.0%