Open yfe404 opened 7 years ago
Close Price (normalized to 1.0 at the start): Black line
Value of the rule-based portfolio (normalized to 1.0 at the start): Blue line
Vertical green lines indicating LONG entry points.
Vertical red lines indicating SHORT entry points.
Vertical black lines indicating exits (long or short).
Note that each red or green vertical line should be followed by a black line before another entry occurs.
Normalization : norm[t] = close[t] / close[0]
Pour inspi:
https://github.com/baiyishr/ML4T/blob/master/MC2_project_2.pdf