March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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601
15
장
매매 전략
그림
15-13
EUR
/
USD
환율과 (다섯 개의 이진수 특징을 사용한) 분류 기반 매매 전략의 성과
15.6.3
다섯 개의 디지털 특징
다음 코드는 과거 로그 수익률의
1
차 모멘트와
2
차 모멘트를 기반으로 특징 데이터를 디지털화
한다. 이렇게 하면 모든 분류 알고리즘 기반 전략의 성능이 향상되지만 여전히 서포트 벡터 머
신 기반 전략의 성능 향상이 가장 월등하다(그림
15
-
14
).
In [81]: mu = data['returns'].mean()
➊
v = data['returns'].std()
➋
In [82]: bins = [mu - v, mu, mu + v]
➌
bins
➌
Out[82]: [-0.006033537040418665, -0.00010174015279231306, 0.005830056734834039]
In [83]: create_bins(data, bins)
In [84]: data[cols_bin].head()
Out[84]: lag_1_bin lag_2_bin lag_3_bin lag_4_bin lag_5_bin
Date
2010-01-12 3 3 0 2 1
2010-01-13 1 3 3 0 2
2010-01-14 2 1 3 3 0
602
4
부
알고리즘 트레이딩
2010-01-15 1 2 1 3 3
2010-01-19 ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.