Deep Learning Trading Strategy from the beginning to the production. Part II.
This is the second episode of the video series where we will try to create a trading strategy using the data science approach, deep learning models, TensorFlow 2.0 and tfx pipeline.
In this video we will have a look at our data and and generate labels for our model. Also we will construct volume bars from ticks and try to find the best parameters for a holding period of our opened position.
00:15 Goals
00:36 Load data and see statistics
01:30 Why spread is important?
01:58 Spread exploration
02:49 Data labeling: detailed explanation of the idea
03:58 Find parameters for the sliding window and volatility calculation
05:15 Volume bars generation
05:54 Find the best window length
06:52 Select window length and expected return
07:08 How we remove crossing labels
07:32 Check how many labels we got
08:14 Introduction of the next step
Link to notebook:
https://github.com/CloseToAlgoTrading...
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