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Signal Processing
sandipayan nandi
posted
Machine Learning

sp

3 responses
toan tran

I'll have to dissect the code and see what is happening, and I'll get back to you. but for now, it seems you can export your code to some other function, say "run_once" and add 

schedule_function(run_once, date_rules.every_day(), time_rules.market_close(minutes = 5))

to initialize instead of time and logic checking.

sandipayan nandi

yes, I could do that using schedule_function, but the code runs fast so just left it as it is. But still with any parameter combination I cannot beat the SPY benchmark index return with the return of the algorithm. Could you do that with this code or any other version of kalman filter code?

toan tran

Sandi, I do not suspect that any combination of the kalman filter will beat spy on the long term. what i gather is that it's a more sophisticated moving average intended to preprocess data but not necessarily have much of a predictive power.

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