├── .gitignore ├── .whitesource ├── LICENSE ├── README.md ├── notebook ├── [Experiment] Long Short Term Memory - Multi-dimensional - Validation.ipynb ├── [Experiment] Long Short Term Memory - Sanity Check - 1 feature - Absolute Return.ipynb ├── [Experiment] Long Short Term Memory - Sanity Check - 1 feature.ipynb ├── [Experiment] Long Short Term Memory - Sanity Check - Absolute Return.ipynb ├── [Experiment] Long Short Term Memory - Sanity Check.ipynb ├── [Experiment] Long Short Term Memory - Stateful vs Stateless - Multi-dimensional.ipynb ├── [Experiment] Long Short Term Memory - Stateful vs Stateless.ipynb ├── [Experiment] Long Short Term Memory - Training - 1 feature - Absolute Return.ipynb ├── [Experiment] Long Short Term Memory - Training - 1 feature.ipynb ├── [Experiment] Long Short Term Memory - Training - 1 ticker - Absolute Return.ipynb ├── [Experiment] Long Short Term Memory - Training - Absolute Return.ipynb ├── [Experiment] Long Short Term Memory - Training.ipynb ├── [Official] Backtesting - Upper bound.ipynb ├── [Official] Backtesting LSTM - 1 feature - Absolute Return.ipynb ├── [Official] Backtesting LSTM - 1 feature - Dropout.ipynb ├── [Official] Backtesting LSTM - 1 feature.ipynb ├── [Official] Backtesting LSTM - Absolute Return.ipynb ├── [Official] Backtesting LSTM.ipynb ├── [Official] Backtesting.ipynb ├── [Official] Benchmark Machine Learning.ipynb ├── [Official] Data Preparation - Frankfurt Stock Exchange.ipynb ├── [Official] Data Preparation and Visualization.ipynb ├── [Official] Long Short Term Memory - 1 feature.ipynb ├── [Official] Long Short Term Memory - Price.ipynb ├── [Official] Long Short Term Memory.ipynb ├── [Official] Trading Algorithm.ipynb ├── [Official] [Trading Algorithm - Baseline 1] Equally weighted portfolio.ipynb ├── [Trading Algorithm - Baseline 1] Random strategy.ipynb ├── [Trading Algorithm - Baseline 1] Statistics.ipynb └── best_model.h5 └── src ├── calculate_returns.py ├── divide_period.py ├── make_dataframe.py ├── make_dataset.py ├── random_forest.py ├── random_strategy.py ├── train.py ├── train_one_ticker.py └── utils.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/.gitignore -------------------------------------------------------------------------------- /.whitesource: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/.whitesource -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/README.md -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Multi-dimensional - Validation.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Multi-dimensional - Validation.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Sanity Check - 1 feature - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Sanity Check - 1 feature - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Sanity Check - 1 feature.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Sanity Check - 1 feature.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Sanity Check - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Sanity Check - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Sanity Check.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Sanity Check.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Stateful vs Stateless - Multi-dimensional.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Stateful vs Stateless - Multi-dimensional.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Stateful vs Stateless.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Stateful vs Stateless.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Training - 1 feature - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Training - 1 feature - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Training - 1 feature.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Training - 1 feature.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Training - 1 ticker - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Training - 1 ticker - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Training - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Training - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Experiment] Long Short Term Memory - Training.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Experiment] Long Short Term Memory - Training.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting - Upper bound.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting - Upper bound.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting LSTM - 1 feature - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting LSTM - 1 feature - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting LSTM - 1 feature - Dropout.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting LSTM - 1 feature - Dropout.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting LSTM - 1 feature.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting LSTM - 1 feature.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting LSTM - Absolute Return.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting LSTM - Absolute Return.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting LSTM.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting LSTM.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Backtesting.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Backtesting.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Benchmark Machine Learning.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Benchmark Machine Learning.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Data Preparation - Frankfurt Stock Exchange.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Data Preparation - Frankfurt Stock Exchange.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Data Preparation and Visualization.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Data Preparation and Visualization.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Long Short Term Memory - 1 feature.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Long Short Term Memory - 1 feature.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Long Short Term Memory - Price.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Long Short Term Memory - Price.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Long Short Term Memory.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Long Short Term Memory.ipynb -------------------------------------------------------------------------------- /notebook/[Official] Trading Algorithm.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] Trading Algorithm.ipynb -------------------------------------------------------------------------------- /notebook/[Official] [Trading Algorithm - Baseline 1] Equally weighted portfolio.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Official] [Trading Algorithm - Baseline 1] Equally weighted portfolio.ipynb -------------------------------------------------------------------------------- /notebook/[Trading Algorithm - Baseline 1] Random strategy.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Trading Algorithm - Baseline 1] Random strategy.ipynb -------------------------------------------------------------------------------- /notebook/[Trading Algorithm - Baseline 1] Statistics.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/[Trading Algorithm - Baseline 1] Statistics.ipynb -------------------------------------------------------------------------------- /notebook/best_model.h5: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/notebook/best_model.h5 -------------------------------------------------------------------------------- /src/calculate_returns.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/calculate_returns.py -------------------------------------------------------------------------------- /src/divide_period.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/divide_period.py -------------------------------------------------------------------------------- /src/make_dataframe.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/make_dataframe.py -------------------------------------------------------------------------------- /src/make_dataset.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/make_dataset.py -------------------------------------------------------------------------------- /src/random_forest.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/random_forest.py -------------------------------------------------------------------------------- /src/random_strategy.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/random_strategy.py -------------------------------------------------------------------------------- /src/train.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/train.py -------------------------------------------------------------------------------- /src/train_one_ticker.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/train_one_ticker.py -------------------------------------------------------------------------------- /src/utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tqa236/LSTM_algo_trading/HEAD/src/utils.py --------------------------------------------------------------------------------