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Constructing signal vectors for machine learning
generative vs discriminative machine learningmachine learning for a ruleWhere to start Machine Learning?Mathematics disciplines underpinning Machine LearningThe optimization problem of soft margin Support Vector Machine: How to interpret?Machine learning: overfitting phenomenaInequalities for machine learning theoremsFinding constants to get a required frequency from a discrete signal processing functionMachine learning with Reject OptionMachine learning: PAC-learnability
$begingroup$
I have daily stock returns related to sectors. At the end of each month I want to construct a vector of signals using the past data with different methods over different moving windows like EWMA over 1 month, 2 months etc). The objective is to then choose a machine learning model to select the best 5 signals to forecast the next month’s performance.
Here is my data:
> head(df)
Date .SXQR .SXTR .SXNR .SXMR .SXAR .SX3R .SX6R .SXFR .SXOR .SXDR
1 2000-01-03 364.94 223.93 489.04 586.38 306.56 246.81 385.36 403.82 283.78 455.39
2 2000-01-04 345.04 218.90 474.05 566.15 301.13 239.24 374.64 390.41 275.93 434.92
3 2000-01-05 338.22 215.88 464.20 542.29 298.22 239.55 373.26 383.48 272.54 430.05
4 2000-01-06 343.13 218.18 470.82 529.33 300.69 249.75 377.26 383.48 272.47 434.15
5 2000-01-07 349.46 220.10 478.87 531.65 306.50 255.17 381.19 390.23 273.76 447.02
6 2000-01-10 356.20 223.01 484.07 581.82 310.84 252.75 387.74 393.75 278.76 453.80
The data file is here.
I never did signal vectors and I want to learn how to do it. I googled it but didn't found anything.
Therefore how to construct a signal vector on each month with EWMA ? Should it be an ewma and when the actual value overshoot the expected, ewma's value we should write a True in a vector related to the sectors.
vectors machine-learning signal-processing
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
$endgroup$
add a comment |
$begingroup$
I have daily stock returns related to sectors. At the end of each month I want to construct a vector of signals using the past data with different methods over different moving windows like EWMA over 1 month, 2 months etc). The objective is to then choose a machine learning model to select the best 5 signals to forecast the next month’s performance.
Here is my data:
> head(df)
Date .SXQR .SXTR .SXNR .SXMR .SXAR .SX3R .SX6R .SXFR .SXOR .SXDR
1 2000-01-03 364.94 223.93 489.04 586.38 306.56 246.81 385.36 403.82 283.78 455.39
2 2000-01-04 345.04 218.90 474.05 566.15 301.13 239.24 374.64 390.41 275.93 434.92
3 2000-01-05 338.22 215.88 464.20 542.29 298.22 239.55 373.26 383.48 272.54 430.05
4 2000-01-06 343.13 218.18 470.82 529.33 300.69 249.75 377.26 383.48 272.47 434.15
5 2000-01-07 349.46 220.10 478.87 531.65 306.50 255.17 381.19 390.23 273.76 447.02
6 2000-01-10 356.20 223.01 484.07 581.82 310.84 252.75 387.74 393.75 278.76 453.80
The data file is here.
I never did signal vectors and I want to learn how to do it. I googled it but didn't found anything.
Therefore how to construct a signal vector on each month with EWMA ? Should it be an ewma and when the actual value overshoot the expected, ewma's value we should write a True in a vector related to the sectors.
vectors machine-learning signal-processing
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
$endgroup$
add a comment |
$begingroup$
I have daily stock returns related to sectors. At the end of each month I want to construct a vector of signals using the past data with different methods over different moving windows like EWMA over 1 month, 2 months etc). The objective is to then choose a machine learning model to select the best 5 signals to forecast the next month’s performance.
Here is my data:
> head(df)
Date .SXQR .SXTR .SXNR .SXMR .SXAR .SX3R .SX6R .SXFR .SXOR .SXDR
1 2000-01-03 364.94 223.93 489.04 586.38 306.56 246.81 385.36 403.82 283.78 455.39
2 2000-01-04 345.04 218.90 474.05 566.15 301.13 239.24 374.64 390.41 275.93 434.92
3 2000-01-05 338.22 215.88 464.20 542.29 298.22 239.55 373.26 383.48 272.54 430.05
4 2000-01-06 343.13 218.18 470.82 529.33 300.69 249.75 377.26 383.48 272.47 434.15
5 2000-01-07 349.46 220.10 478.87 531.65 306.50 255.17 381.19 390.23 273.76 447.02
6 2000-01-10 356.20 223.01 484.07 581.82 310.84 252.75 387.74 393.75 278.76 453.80
The data file is here.
I never did signal vectors and I want to learn how to do it. I googled it but didn't found anything.
Therefore how to construct a signal vector on each month with EWMA ? Should it be an ewma and when the actual value overshoot the expected, ewma's value we should write a True in a vector related to the sectors.
vectors machine-learning signal-processing
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
$endgroup$
I have daily stock returns related to sectors. At the end of each month I want to construct a vector of signals using the past data with different methods over different moving windows like EWMA over 1 month, 2 months etc). The objective is to then choose a machine learning model to select the best 5 signals to forecast the next month’s performance.
Here is my data:
> head(df)
Date .SXQR .SXTR .SXNR .SXMR .SXAR .SX3R .SX6R .SXFR .SXOR .SXDR
1 2000-01-03 364.94 223.93 489.04 586.38 306.56 246.81 385.36 403.82 283.78 455.39
2 2000-01-04 345.04 218.90 474.05 566.15 301.13 239.24 374.64 390.41 275.93 434.92
3 2000-01-05 338.22 215.88 464.20 542.29 298.22 239.55 373.26 383.48 272.54 430.05
4 2000-01-06 343.13 218.18 470.82 529.33 300.69 249.75 377.26 383.48 272.47 434.15
5 2000-01-07 349.46 220.10 478.87 531.65 306.50 255.17 381.19 390.23 273.76 447.02
6 2000-01-10 356.20 223.01 484.07 581.82 310.84 252.75 387.74 393.75 278.76 453.80
The data file is here.
I never did signal vectors and I want to learn how to do it. I googled it but didn't found anything.
Therefore how to construct a signal vector on each month with EWMA ? Should it be an ewma and when the actual value overshoot the expected, ewma's value we should write a True in a vector related to the sectors.
vectors machine-learning signal-processing
vectors machine-learning signal-processing
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
asked Mar 29 at 16:36
ThePassengerThePassenger
8251925
8251925
add a comment |
add a comment |
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