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BitMech 探索的 トレーディングシステム fin-py study #1
- 11. ベイズ最適化
"MACD":{
"candleSize":(1,60), # tick per minute
"historySize":(1,60),
"short": (0.1,30), # short EMA
"longWeight": (1.,5.), # long EMA(short*longWeight)
"signal": (1,18), # shortEMA - longEMA diff
"thresholds.down": (-5.,0.), # trend thresholds
"thresholds.up": (0.,5.), # trend thresholds
"thresholds.persistence": (0,100), # trend duration(count up by tick) thresholds
}
- 12. ベイズ最適化
bo = BayesianOptimization(gekko_search, settings[Strategy])
bo.maximize(init_points=100, n_iter=500)
max_val = bo.res['max']['max_val']
max_params = bo.res['max']['max_params']
※gekko_searchは、BTC_USDTの365日の履歴から、ランダムに開始日付を決
め、そこから21日間を使用してBacktestを行う。それを100回繰り返し、利回りの平均
を戻り値とする
※評価フェーズでは訓練に使用した365日以外の直近21日をテストデータとする
- 25. Layer (type) Output Shape Param #
=============================================================
dense_1 (Dense) (None, 4, 4320, 16) 128
activation_1 (Activation) (None, 4, 4320, 16) 0
dense_2 (Dense) (None, 4, 4320, 16) 272
activation_2 (Activation) (None, 4, 4320, 16) 0
dense_3 (Dense) (None, 4, 4320, 16) 272
activation_3 (Activation) (None, 4, 4320, 16) 0
flatten_1 (Flatten) (None, 276480) 0
dense_4 (Dense) (None, 3) 829443
activation_4 (Activation) (None, 3) 0
=============================================================
Total params: 830,115
Trainable params: 830,115
Non-trainable params: 0
- 30. トレード情報: currency, asset, startTime, endTime, timespan, market, balance,
profit, relativeProfit, startPrice, endPrice, trades, startBalance, alpha
リスク指標: volatility, beta, hpm(0.0)_1, lpm(0.0)_1, VaR(0.05), CVaR(0.05),
Drawdown(5), Max Drawdown
リスク調整済み指標: Treynor Ratio, Sharpe Ratio, Information Ratio
VaR調整済み指標: Excess VaR, Conditional Sharpe Ratio
下方部分積率リスク調整済み指標: Omega Ratio, Sortino Ratio, Kappa 3 Ratio,
Gain Loss Ratio, Upside Potential Ratio
ドローダウンリスク調整済み指標: Calmar Ratio, Sterling Ratio, Burke Ratio