From ea16895bee43b65f6c3d446d66de2a1d6f7884b9 Mon Sep 17 00:00:00 2001 From: Xiao-Yang Liu Date: Thu, 16 Feb 2023 01:06:12 -0500 Subject: [PATCH] Update README.md --- README.md | 12 ++++++++---- 1 file changed, 8 insertions(+), 4 deletions(-) diff --git a/README.md b/README.md index 0233f3c6a..2776cfc11 100644 --- a/README.md +++ b/README.md @@ -4,12 +4,14 @@ Purpose: Based on FinRL (https://github.com/AI4Finance-Foundation/FinRL), develop an AI stock-selection and trading strategy using Supervised Learning (SL) and Deep Reinforcement Learning (DRL), and deploy it to an online trading platform. -### Phase I: Data Processing and Feature Engineering -1. Download and install FinRL, download S&P 500 Open, High, Low, Close prices, and Volume (OHLCV) and Fundamental Indicators (company fundamental data), and convert the data into a daily format +### Phase I: Financial Data Processing and Technical Indicators -2. Perform feature engineering: based on OHLCV data to make company technical analysis indicators such as MACD, RSI; based on company fundamental data to make fundamental indicators such as EPS, ROI, ROE, P/E, P/S; and convert it into the specified data format +1. Download Dow-30, NASDAQ-100, or S&P 500 data, including Open, High, Low, Close prices, and Volume (OHLCV) and fundamental indicators. + +2. Obtain technical indicators and perform feature engineering: technical indicators, such as MACD, RSI; and fundamental indicators, such as EPS, ROI, ROE, P/E, P/S. ### Phase II: Stock Selection and Portfolio Allocation with Backtesting Results + 1. Stock Selection: Perform supervised machine learning using classic machine learning algorithms (LSTM, Random Forest, SVM, Linear Regression, Lasso, Ridge) to select stocks based on fundamental multi-factor data, and select the top 25% of stocks every quarter; • Reference paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3302088 • GitHub Code: https://github.com/AI4Finance-Foundation/Machine-Learning-for-Stock-Recommendation-IEEE-2018 @@ -18,8 +20,10 @@ Purpose: Based on FinRL (https://github.com/AI4Finance-Foundation/FinRL), develo • Reference paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3690996 • GitHub Code: https://github.com/AI4Finance-Foundation/FinRL-Meta/blob/master/tutorials/1-Introduction/FinRL_PortfolioAllocation_NeurIPS_2020.ipynb -### Phase III: Deploy the DRL trading strategy to an online trading platform +### Phase III: Deploy a DRL agent to an online trading platform + 1. Deployment: Deploy strategies to online trading platforms such as Alpaca for paper trading + • GitHub Code: https://github.com/AI4Finance-Foundation/FinRL-Meta/blob/master/tutorials/3-Practical/FinRL_PaperTrading_Demo.ipynb