An algorithm to filter noise and run change point methods to detect buy and sell signals.
This looks interesting. Can you provide a little description on the background of the approach / algorithm to better understand it?
There are two classes in the code. CP which stands for change point and detects changes in the mean of a bernoulli sequence of zeros and ones. KF stands for kalman filter which tries to reduce noise of the price series and identifies trend. The algorithm runs KF to filter noise and estimate trend. It then uses CP to see if trend is changing direction (from positive to negative and vice versa).
If you play with the process noise covariance and observation noise covariance in KF you will get different results. I am struggling to find the right calibration.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.