Use case: I have time series data for multiple assets (eg. AAPL, MSFT) and multiple features (eg. MACD, Volatility etc). I am building a ML model to make classification predictions on a subset of this data. Problem: For each asset & feature – I want to fit and apply a transformation. For example: fo…
Tag: quantitative-finance
Momentum portfolio(trend following) quant simulation on pandas
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…