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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641
16
장
매매 자동화
In [99]: VaR = scs.scoreatpercentile(equity * hourly['returns'], percs)
➋
In [100]: print_var()
Confidence Level Value-at-Risk
---------------------------------
99.99 389.524
99.90 372.657
99.00 205.662
97.50 186.999
95.00 164.869
90.00 101.835
➊
5
분봉에서
1
시간 간격으로 리샘플링
➋
리샘플링된 데이터의
VaR
값 재계산
16.2.4
모형 객체 보존
일단 백테스팅, 레버리지 분석, 위험 분석 결과에서 알고리즘 트레이딩 전략이 통과되었으면
나중에 사용하기 위해 이 매매 전략 객체를 보존해야 한다. 보존된 객체는 전략 내용을 내포하고
있다.
In [101]: import pickle
In [102]: pickle.dump(model, open('algorithm.pkl', 'wb'))
16.3
온라인 알고리즘
지금까지 테스트한 트레이딩 알고리즘은 오프라인 알고리즘이었다. 이 알고리즘은 문제를 풀
기 위해 필요한 데이터가 완벽하게 주어져 있다고 가정하고 만든 것이다. 여기서 주어진 문제
는 이진화된 특징값과 레이블링된 시장 방향을 사용하여 서포트 벡터 ...
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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.
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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.