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Update README.md
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raidastauras authored Jan 22, 2018
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Expand Up @@ -94,16 +94,18 @@ After trying multiple ways of combining the features polynomials and PCA, it see
**<p align="center"> Receiver operating curve </p>**
<p align="center"> <img src="/images/ROC_lr_v2.png"></p>

Here is an example of portfolio value given the best models. Unfortunately, the results change dramatically once transaction costs are accounted for.

**<p align="center"> Portfolio value w\ and w\o transaction costs </p>**

<p align="center"> <img src="/images/portfolio_value_1.png"> </p>

**Final concusion for now:**

1. Given only price and volume data, predicting price direction is not really accurate.
2. For predictions to be reasonable more features are needed. For instance sentiment data, other macroeconomic data or whatever.
3. If not only possible profitable strategy would be, to use other models like position sizing and carefully entering trades to decrease total transaction costs.

Here is an example of portfolio value given the best models. Unfortunately, the results change dramatically once transaction costs are accounted for.

**<p align="center"> Portfolio value w\ and w\o transaction costs </p>**

<p align="center"> <img src="/images/portfolio_value_1.png"> </p>

<a name="Concusion"/>

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