Volume & Dollar Bars

1 thg 9, 2019

This scriptlet is a part of an ongoing project and attempts at volume and dollar bar identification. The original idea is taken from excellent books 'Hands-On Machine Learning for Algorithmic Trading' (2019) by Stefan Jansen and 'Advances in Financial Machine Learning' (2018) by Marcos Lopez de Prado.

Statement of Purpose

I am an advocate of Open source and against those who publish their code with a lock icon. My code and ideas are aimed at people with critical thinking, who are able to take an informative and responsible decision when it comes to investing their funds. I do not guarantee that all of my ideas will perform well. As usual, they require a certain degree of your sound judgment. My final aim is to provide you with coding techniques that you could use in your own scripts and strategies.

3 thg 9, 2019

Phát hành các Ghi chú

Major fix in calculation of long and short conditions.

3 thg 9, 2019

Phát hành các Ghi chú

Minor fix.

3 thg 9, 2019

Phát hành các Ghi chú

Minor fix 2.