roman807 / predicting-stock-market-crashes Goto Github PK

I don't think the drawdowns are computed correctly. By definition drawdowns are computed as follows:

Drawdowns from returns dfr as a dataframe:

# compute the wealth index from the non-cumulative returns
dfw = (1+dfr).cumprod()
# compute the drawdowns
dd = dfw / dfw.cummax() - 1

Drawdowns from prices dfp as a dataframe:

# compute the wealth index from prices
dfw = dfp / dfp.iloc[0, :]
# compute the drawdowns
dd = dfw / dfw.cummax() - 1

A simple check of your drawdowns being incorrect: compare to the underwater plot. You will see that the drawdowns you compute don't go from peak to trough. If this is incorrect all the downstream work will need to be revisited.

I believe the problem lies in the following computation. Here you get a marking on any decreasing price sequence but these are not the drawdowns. The drawdowns require the cumulative price maximum.

pmin_pmax = (ds['price'].diff(-1) > 0).astype(int).diff() #<- -1 indicates pmin, +1 indicates pmax

Hi ,
I have already installed pip install scikit-learn but its not help to resolve error. Please help on following error

C:\Python39\Predicting-Stock-Market-Crashes-master\Predicting-Stock-Market-Crashes-master\final_predictor\main.py
Traceback (most recent call last):
File "C:\Python39\Predicting-Stock-Market-Crashes-master\Predicting-Stock-Market-Crashes-master\final_predictor\main.py", line 94, in
main()
File "C:\Python39\Predicting-Stock-Market-Crashes-master\Predicting-Stock-Market-Crashes-master\final_predictor\main.py", line 44, in main
model = pickle.load(open(model, 'rb'))
ModuleNotFoundError: No module named 'sklearn.linear_model.logistic'

Hi @roman807 ,
I want to try and recreate the project with the latest data and add some more
analytics.
I was wondering if you had the script to download the csv data sets.
Also I want to change to the target variable to a draw down in the 5% percent region.
I was wondering where in the code I could do this and re-run the experiments.

Many thanks,
Best,
Andrew