dwker/strategy-lab
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Update README.md

Browse Source
This commit is contained in:
dwker
2024-08-31 12:38:44 +00:00
parent 839e63f3ad
commit a205076131
1 changed files with 1 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
README.md
View File

@ -6,7 +6,7 @@ there are `SINGLE` and `MULTI` version
- `SINGLE` - just straight one pass meaning fetching data (local/remote), the data cleaning(only main session, no extended market) indicators and entry-points (in given time window) and backtest with SINGLE parameter values and strategy result. Used for basic strategy research. - `SINGLE` - just straight one pass meaning fetching data (local/remote), the data cleaning(only main session, no extended market) indicators and entry-points (in given time window) and backtest with SINGLE parameter values and strategy result. Used for basic strategy research.
- `MULTI` - basic strategy pass taken from step above but with hyperparameters testing, result for each strategy for each parameter combination in vbt portfolio dataset. To evaluate performance of each(best) parameter combination, maybe display as parallel coordinates plot. - `MULTI` - basic strategy pass taken from step above but with hyperparameters testing, result for each strategy for each parameter combination in vbt portfolio dataset. To evaluate performance of each(best) parameter combination, maybe display as parallel coordinates plot.
I can imagine it can be used to create MVP (not sure about notebooks as they become clumsy with lots of data), hyperparameter testing should be refactored, walk forward optimization and cross validation should be added. I can imagine it can be used to create MVP (not sure about notebook format as it becomes clumsy with lots of data), hyperparameter testing should be refactored, walk forward optimization and cross validation should be added.
Maybe start exploration with `/research/strat_ORDER_IMBALANCE/v2_single.ipynb` Maybe start exploration with `/research/strat_ORDER_IMBALANCE/v2_single.ipynb`