Chapter 12, Section 4, Dollar Volume Rank is Never Used

stefan-jansen / machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.

https://ml4trading.io

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Chapter 12, Section 4, Dollar Volume Rank is Never Used #246

Closed majidhosseini1 closed 2 years ago

majidhosseini1 commented 2 years ago

Hello, Going through this section, I noticed that the Dollar Volume Rank, meant to restrict the trading universe, seems to never be used in the rest of the this chapter.
Thanks!

stefan-jansen commented 2 years ago

That's right, the model runs with the full dataset. The ranking was just meant to illustrate how you could restrict the universe.