Micro Alpha Course (Chart Patterns)

Quant Trading Strategies & Ideas
1

Course Name: Trading Alphas: Mining, Optimisation, and System Design, Section No: 6, Unit No: 9, Unit type: Notebook

Hi, I have a question. In my course at Section 6, Unit 9 there is the notebook about Chary Patterns and was wondering if it is correct multiplying the signal for the returns shifted left? In fact, the signal is generated in the same day it is moltiplicated by the return while I believe it should be moltiplicated for the day after return. Thanks

2

Hi Manuel,



In the code, we are doing shift(-1) which shifts the percentage changes one step backwards. This means that each value is replaced with the value from the next day. The purpose of this shift is to align the signal values with the future returns so that each signal corresponds to the return on the following day. Please do let us know if you have any further queries.



Hope this helps!



Thanks,

Akshay