High quality tick data has been sourced from Tick Data LLC at the cost of approximately 1000 USD. The focus for our research will be on S&P 500 E-mini futures, for the period 10 September 1997 - 13 February 2019. The S&P 500 E-Mini futures data is the set which de Prado regularly references in his work and by using the same set we create a natural way to benchmark our implementations.
The folder contains the details of the tick data and the small nuances related to it.
An implementation of the answers pertaining to chapter three's questions in Advances in Financial Machine Learning. By answering these questions we also complete the objectives of our mini 6 week Capstone. This research will then be used later in the longer 6 month capstone as we look for a novel contribution to the literature.
This folder contains the following:
- mlfinlab: A folder containing the snippets of code from the book, needed to answer the chapters questions.
- Chapter3 notebook: Answers to the questions in chapter 3.
- requirements.txt: The packages and version numbers used in the notebook.
- sample_dolalr_bars.csv: A 1 year sample of dollar bars for S&P500 Emini futures. Sampled at 1/50 of the daily avg dollars.