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https://github.com/kumkee/SURF2016

Last synced: 2 months ago
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Host: GitHub
URL: https://github.com/kumkee/SURF2016
Owner: kumkee
License: gpl-3.0
Created: 2016-04-15T01:21:50.000Z (over 8 years ago)
Default Branch: master
Last Pushed: 2017-12-06T01:42:42.000Z (about 7 years ago)
Last Synced: 2024-08-01T15:31:02.901Z (5 months ago)
Language: Python
Size: 1.43 MB
Stars: 15
Watchers: 8
Forks: 23
Open Issues: 0
Metadata Files:
- Readme: README.md
- License: LICENSE

Awesome Lists containing this project

README

        # Crytocurrency Portfolio Management with Convolution Neural Networks

## Poster

Poster of the work can be found here: [Poster](https://github.com/kumkee/SURF2016/blob/master/poster.pdf)

## Papers

* Accepted by the conference of IntelliSys2017 (London). Preprint: [arxiv:1612.01277](http://arxiv.org/abs/1612.01277)

* A second paper submitted to JMLR. Preprint: [	arXiv:1706.10059](https://arxiv.org/abs/1706.10059)

## Source Code

* ~Source code of the finished project is now private, but part of it is still available to the public via this repository.~

* *Update:* The full souce code (for the first and second paper) is now in public domain at https://github.com/ZhengyaoJiang/PGPortfolio

## Resutls

#### Comparision of our backtest with other methods

![backtest](https://raw.githubusercontent.com/kumkee/SURF2016/328403c68c7d2c290aaecdad1a4c413a6fa3b7d6/images/back-test.png)

#### Online Trading

![trading](https://raw.githubusercontent.com/kumkee/SURF2016/386d4adbe7b963d28d4dca247a31e812afa2b0a5/images/ol-trading.png)