We want the moving average columns from 14 to be expanded upon. Specifically, we want to
Annualize the return over the investment period (7, 30, 90) day comparing purchase the day after with sale at the 7,30,90 day marks. This should be a new data column. It would be nice if it was included in the generate_labels.py script.
Get reference annualized returns for the S&P 500 over the same time period. Realistically, this should be a function with some documentation string that is easily importable by other scripts.
Calculate Alpha of investment over period. This is a relative advantage in annualized return with respect to the S&P500 returns. This can be a new data column, and it would be nice if it was included in generate_labels.py. Ideally, the function should be documented and easily importable by other scripts. We want this function to ultimately report model performance dynamically downstream when called by model-builders.
yyitingli
commented
1 year ago
We want the moving average columns from 14 to be expanded upon. Specifically, we want to
Annualize the return over the investment period (7, 30, 90) day comparing purchase the day after with sale at the 7,30,90 day marks. This should be a new data column. It would be nice if it was included in the
generate_labels.pyscript.Get reference annualized returns for the S&P 500 over the same time period. Realistically, this should be a function with some documentation string that is easily importable by other scripts.
Calculate
Alphaof investment over period. This is a relative advantage in annualized return with respect to the S&P500 returns. This can be a new data column, and it would be nice if it was included ingenerate_labels.py. Ideally, the function should be documented and easily importable by other scripts. We want this function to ultimately report model performance dynamically downstream when called by model-builders.