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Range percentage for purchasing
Michael Despott
posted
Machine Learning

I have found from experience, that there are just certain historical periods, that no Algo can deal with, this is why they are still manually guided and optimised on the fly.

It would seem that the only real variables that need to be change here are:

[] Purchase % Buy = +3.7% Sell = .-.75% [] Look back should be 7-14 days [] Range should be around 325 days

There is also the additional main governing factor, and that is the price bandwidth (range) as not all price action i.e. Bollinger bands, ATR, CCI, and the its many forms are the same for each position and I have found the optimization of this range paramount, as the scale of volatility does cycle and vary.

Hope this helps, Michael

1 response
Gus Gordon

Cool, glad you found my example useful! This can be modified to do a lot of different things, let me know if you have any questions. One other thing I was playing around with was using volume data instead of price data. What you would have to do for that is have the input variables be volume and the output variables be price change, so there would need to be two history calls in create_model and one history call (for volume) in trade.

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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.