Back to directoryResource
PGPortfolio
Github Repo
by ZhengyaoJiang
Tags
deep learningportfolio constructionpythonreinforcement learningresearch replication
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for financial machine learning. Specialist prerequisites vary by resource.
Before you read
- Time-Ordered Train, Validation and Test Design
Preserve time order and avoid future information in training.
- Linear Regression
Establish an interpretable baseline before a flexible model.
Go further
- Finance-aware validation
Account for dependence and overlapping observations.
- Feature importance
Examine which information contributes to predictions.
Explore a related reading path
- From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.