QUANTCONNECT COMMUNITY
Here is my attempt to create custom indicator based on second order Epanechnikov kernel, described in
"Nonparametric estimation of a multidimensional probability density" by V. A. Epanechnikov.
http://www.mathnet.ru/links/74bd23faeeb1ccffdba0a1b221fd436c/tvp1130.pdf
https://en.wikipedia.org/wiki/Kernel_(statistics)
Hope it will be useful in generating alphas on QuantConnect.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Spacetime
nice share! thank you! I wanted to experiment with the below trade signals. Hmm… not sure how would I calculate 3 STD below and 1 STD above the ek filter value. Any guidance would be awesome. ty!
Buy Signal: 3 STD below self.ek_filter.Value
Sell Signal: 1 STD above self.ek_filter.Value
Vladimir
Spacetime,
Here is the one with Upper and Lower Standard Deviation bands.
Enjoy.
Spacetime
hmm… I was very close to your solution. I was not able to get the extensions to work. time to experiment!!
thank you!
Vladimir
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!