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BlackArbsCEO / Adv_Fin_ML_Exercises

Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]
MIT License
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Add notebook to plot OOS equity curve with Bollinger strategy #13

Open lionelyoung opened 6 years ago

lionelyoung commented 6 years ago

Leverage the "Labeling" notebook to plot an equity curve

lionelyoung commented 6 years ago

Let me know if you'd like this to be an issue first to discuss, we can close this PR if so.

I am creating a pull request per your comment here: https://github.com/BlackArbsCEO/Adv_Fin_ML_Exercises/issues/9#issuecomment-422893053

BlackArbsCEO commented 5 years ago

sorry i didn't see the notification for this sooner. let me review it tomorrow and get back to you.

lionelyoung commented 5 years ago

No problem

I also want to use this thread to discuss how you’d like to organize and I can make changes

For example, would you like the helper methods in another module or directly in the notebook?

BlackArbsCEO commented 5 years ago

@lionelyoung Ok cool. If you're using jupyter notebooks in the anaconda distro I recommend installing jupyter notebook extensions, specifically for the table-of-contents extension. That really helps organization/navigation of the notebook for viewers, especially if the nb is a little long.

For the methods and functions I would put them into a module/script that you import from since they are already described in an earlier notebook.

For the OOS trading example, I would use a markdown cell to briefly describe what you're doing in the following cell. For example, what the strategy is, long and/or short, sample size, etc. Also delete any unused code that is commented out, and comment the code cell strategically to explain what certain chunks are doing.

In the plot I recommend labeling the axes, titling the graph and using markers on the line plot to show where trades were taken.

lionelyoung commented 5 years ago

Great, will take a look

I'm working in another notebook now to make the library, will probably take me a bit to merge it in