Skip to content
/ BTC_LSTM Public
forked from huber-yaoer/BTC_LSTM

比特币基于LSTM的多因子交易策略

0 stars 4 forks Branches Tags Activity
Star
Notifications You must be signed in to change notification settings

Michael-Z/BTC_LSTM

BranchesTags
 
 

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

4 Commits

.idea

.idea

 
 

.ipynb_checkpoints

.ipynb_checkpoints

 
 

1.png

1.png

 
 

BTC_LSTM.ipynb

BTC_LSTM.ipynb

 
 

README.md

README.md

 
 

btc_nvt.csv

btc_nvt.csv

 
 

daily_price_btc_cny.csv

daily_price_btc_cny.csv

 
 

input.csv

input.csv

 
 

raw.csv

raw.csv

 
 

Repository files navigation

BTC_LSTM

比特币基于LSTM的多因子交易策略

策略回测结果（2015-01-09 ~ 2017-09-18）：

总结：

此策略会减少最大回撤，减少波动，比较稳健；

收益率与LSTM预测的准确率直接相关，应该加入更多因子，及设置更合适的超参

此模型同样的数据收益率存在随机性

试用集成学习等模型

About

比特币基于LSTM的多因子交易策略

Resources

Readme
Activity

Stars

0 stars

Watchers

0 watching

Forks

0 forks
Report repository

Releases

No releases published

Packages

No packages published

Languages

  • Jupyter Notebook 100.0%