I am trying to construct trend following momentum portfolio strategy based on S&P500 index (momthly data) I used Kaufmann’s fractal efficiency ratio to filter out whipsaw signal (http://etfhq.com/blog/2011/02/07/kaufmans-efficiency-ratio/) I succeeded in coding, but it’s very clumsy, so I need advice for better code. Strategy Get data of S&P 500 index from yahoo finance Calculate Kaufmann’s efficiency ratio on lookback period
Tag: momentum
Backpropagation with Momentum using Scikit-Learn
I’m trying to use Scikit-Learn’s Neural Network to classify my dataset using a Backpropagation with Momentum. I need to specify these parameters: Hidden neurons, Hidden layers, Training set, Learning rate and Momentum. I found MLPClassifier in Sklearn.neural_network package. The problem is that this package is part of Scikit-learn V0.18 which is a dev version. Is there a way I could