Machine Learning Tour by Gabriel Moncarz
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Backtest with 5 vars (OLHCV quotes) and custom policy L1/L2 regularization terms
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Last updated on 26 May 2019
Published on 26 May 2019
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Linear Regression
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Look Ahead Bias
Avoiding look ahead bias
Running regression models
Adding historical variables
Ridge, Lasso and ElasticNet
Logistic Regression
Introduction
Running logistic models
Adding historical variables
Logistic training parameters part I
Logistic training parameters part II
Logistic training parameters part III
Strategy parameters
Support Vector Machines - SVM
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SVM Regressor - Adding historical variables
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SVM Regressor - Kernel parameters tunning
SVM Regressor - Historical window lenght
SVM Classifier
SVM Classifier - Introduction
SVM Classifier - Improving the model
SVM Classifier - Historical variables and data normalization
SVM Classifier - Kernels
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Decision Tree Regressor
Decision Trees - Introduction
Decision Trees - Adding historical data
Decision Trees - Training parameter tunning
Decision Trees - Historical window lenght
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Random Forest
Random Forest Regressor
Random Forest Regressor - Introduction
Random Forest Regressor - Adding historical variables
Random Forest - Training parameter tunning
Random Forest - Historical window lenght - 1 day horizon period
Random Forest - Historical window lenght - 2 weeks horizon period
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GBM - Training parameter tunning
GBM - Historical window lenght
Deep Learning
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DNN Regressor - Basic DNN model
DNN Regressor - Data standardization, normalization and loss optimizers
DNN Regressor - Regularization terms and batch normalization
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CNN Regressor Model
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Deep Recurrent Neural Networks (RNN) Regressor
RNN Regressor - Introduction
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RNN Regressor - Deep Secuential RNN (DSRNN)
RNN Regressor - Deep Secuential Bidirectional RNN (DSBRNN)
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LSTM Regressor
LSTM Regressor - LSTM Introduction
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Deep Convolutional Recurrent Neural Network
Deep Convolutional Recurrent Neural Network Regressor
CNN + RNN + DNN
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Reinforcement Learning
Environment
Training a basic RL - DQN model
Building a reinforcement learning micro framework
RL DQN model
RL Dueling DQN
RL DQN with Prioritized Experience Replay
RL DQN with custom policy for regulartization terms
DQN based backtests
Backtest with 5 vars (OLHCV quotes) and custom policy L1/L2 regularization terms
Backtest with 53 inputs and custom policy L1/L2 regularization terms
More Models