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joelowj / Machine-Learning-and-Reinforcement-Learning-in-Finance

Machine Learning and Reinforcement Learning in Finance New York University Tandon School of Engineering
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Absorption Ratio via PCA (75/100) #5

Open joelowj opened 6 years ago

joelowj commented 6 years ago

Current submission

Exponentially Weighted Returns 25/25 Linear Auto Encoder 25/25 Portfolio Weights 25/25 Trading Strategy Performance 0/25

My approach to calculate annuazlied returns, annuazlied volatility and sharpe ratio appears to be correct. I make a rough implementation just to check if I could clear the grader. Unfortunately, it did not. It could be an issue with the grader, I will wait a while before attempting this part again.