macd startegy in python

1. load daily data from text csv file or download it directly from internet. Time series length:

min. 6 years.

2. divide input data into training and testing set

3. generate at least one type of trading signals (for example buy signal)

4. trade basing on generated buy/sell signals - each student in team should implement own

trading strategy.

5. calculate standard performance/risk measures (Sharp Ratio(Total/Annualized), Information

Ratio(Total/Annualized), Maximum Drawdown, Standard Deviation) for both training and

testing set.

6. optimize the strategy parameters on the training set using one of the measures above

7. calculate the total value of portfolio (cumulative return) for both training and testing set

8. present the total number of trades

Python Programvarearkitektur Statistikk Machine Learning (ML) Finans

Prosjekt-ID: #25629423

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