April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Feature engineering our model
The daily adjusted closing prices of our data make up the target variables. The independent variables defining the features of our model are made up of these technical indicators:
- Relative strength index (RSI)
- Williams %R (WR)
- Awesome oscillator (AO)
- Volume-weighted average price (VWAP)
- Average daily trading volume (ADTV)
- 5-day moving average (MA)
- 15-day moving average
- 30-day moving average
This gives us eight features for our model.
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