push autoencoder statarb and backtesting directories to main branch p…

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vishalbelsare · Nov 23, 2021 · 450e253 · 450e253
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diff --git a/autoencoder_statarb/CONTRIBUTING.md b/autoencoder_statarb/CONTRIBUTING.md
@@ -0,0 +1,52 @@
+# Autoencoder Statistical Arbitrage Repository OSS Contribution Rules
+
+## Signing Your Work
+
+1. We require that all contributors "sign-off" on their commits. This certifies that the contribution is your original work, or you have rights to submit it under the same license, or a compatible license. <em>Any contribution which contains commits that are not Signed-Off will not be accepted.</em>
+
+2. To sign off on a commit you simply use the `--signoff` (or `-s`) option when committing your changes:
+    ```
+    $ git commit -s -m "Add cool feature."
+    ```
+    This will append the following to your commit message:
+    
+    ```
+    Signed-off-by: Your Name <[email protected]>
+    ```
+3. Full text of the DCO:
+    ```
+    Developer Certificate of Origin
+    Version 1.1
+
+    Copyright (C) 2004, 2006 The Linux Foundation and its contributors.
+
+    Everyone is permitted to copy and distribute verbatim copies of this
+    license document, but changing it is not allowed.
+
+    Developer's Certificate of Origin 1.1
+
+    By making a contribution to this project, I certify that:
+
+    (a) The contribution was created in whole or in part by me and I
+        have the right to submit it under the open source license
+        indicated in the file; or
+
+    (b) The contribution is based upon previous work that, to the best
+        of my knowledge, is covered under an appropriate open source
+        license and I have the right under that license to submit that
+        work with modifications, whether created in whole or in part
+        by me, under the same open source license (unless I am
+        permitted to submit under a different license), as indicated
+        in the file; or
+
+    (c) The contribution was provided directly to me by some other
+        person who certified (a), (b) or (c) and I have not modified
+        it.
+
+    (d) I understand and agree that this project and the contribution
+        are public and that a record of the contribution (including all
+        personal information I submit with it, including my sign-off) is
+        maintained indefinitely and may be redistributed consistent with
+        this project or the open source license(s) involved.
+    ```
+
diff --git a/...backtestingequityinvestmentstrats/LICENSE → autoencoder_statarb/LICENSE b/...backtestingequityinvestmentstrats/LICENSE → autoencoder_statarb/LICENSE
diff --git a/autoencoder_statarb/README.md b/autoencoder_statarb/README.md
@@ -0,0 +1,52 @@
+# AutoEncoderStatArb
+
+Train a TensorFlow-based deep autoencoder on log returns for the Dow Jones 30 securities in the initial minutes of 2018 for use subsequently to make long/short trade entry decisions for the rest of the year. This technique is known as [Statistical Arbitrage](https://en.wikipedia.org/wiki/Statistical_arbitrage). Profit from temporary mispricings.
+
+# Build and run the Docker container
+
+Note: the Dockerfile expects to see a prices.csv file in the directory to copy into the container to be able to buid and run. See Providing sample data below.
+
+ - BUILD: `docker build --network=host --file docker/Dockerfile --tag daesa:nvidia .`
+ - RUN: `docker run --gpus all --rm -it -p 8888:8888 -p 8889:8889 -p 8890:8890 -p 8891:8891 -v $(pwd):$HOME daesa:nvidia`
+
+# Providing sample data
+
+The rationale is contained in the figures in the .png files, referred to in the Python notebook.
+
+Note: be sure to run the main cuDAESA.ipynb in cell-by-cell run mode because of the length of time to run the main simulation loop cell. Do not use this notebook in run-all mode.
+
+Two options for providing the price quotes to the TensorFlow-based deep autoencoder Python notebook are:
+
+(1) using 1-minute quotes for the NASDAQ and NYSE stock exchanges from EODData.com and using the widedf.ipynb Python notebook to format those or
+
+(2) using another source meeting the format shown below:
+
+Here is a sample of the format of the 1-minute 30 security input read by read_csv():
+
+<pre>
+Date,AAPL,CSCO,INTC,MSFT,JNJ,JPM,KO,MCD,MMM,NKE,PFE,PG,TRV,UNH,UTX,V,VZ,WMT,XOM,AXP,BA,CAT,CVX,DWDP,DIS,GE,GS,HD,IBM,MRK
+02-Jan-2018 09:00,170.15,38.51,46.35,85.9,139.61,107.6,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,99.93,296.05,158.3,125.8,71.56,108.6,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:01,170.18,38.51,46.35,85.9,139.61,107.6,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,99.93,296.05,158.3,125.8,71.56,108.6,17.53,256.95,190.2,154.25,56.58
+02-Jan-2018 09:02,170.16,38.51,46.35,85.9,139.61,107.6,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,99.93,296.05,158.3,125.8,71.56,108.6,17.53,256.95,190.2,154.25,56.58
+02-Jan-2018 09:03,170.15,38.51,46.35,85.9,139.61,107.68,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,99.93,296.05,158.3,125.98,71.56,108.8,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:04,170.15,38.51,46.35,85.9,139.61,107.7,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,99.93,296.05,158.3,125.98,71.56,108.8,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:05,170.15,38.51,46.35,85.9,139.61,107.7,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,100.73,296.05,158.3,125.98,71.56,108.8,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:06,170.18,38.51,46.35,86.0,139.61,107.65,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.56,53.06,99.2,84.05,100.73,296.05,158.3,125.8,71.56,108.8,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:07,170.16,38.51,46.35,86.0,139.61,107.7,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.8,53.06,99.2,84.05,100.73,296.05,158.3,125.8,71.56,108.8,17.54,256.95,190.2,154.25,56.58
+02-Jan-2018 09:08,170.18,38.51,46.3,86.0,139.61,107.81,45.95,173.28,236.55,62.7,36.34,92.24,136.41,221.7,128.16,114.66,53.06,99.2,84.05,100.73,296.25,158.3,125.96,71.56,108.8,17.55,256.7,190.2,154.25,56.58
+</pre>
+and the tail end of the file is:
+<pre>
+31-Dec-2018 16:50,157.7,43.38,46.93,101.57,129.02,97.62,47.35,177.57,190.54,74.13,43.65,91.92,119.75,249.12,106.48,131.94,56.01,93.07,68.19,95.32,322.5,127.07,108.9,53.48,109.65,7.54,166.8,171.82,113.5,76.31
+31-Dec-2018 16:51,157.7,43.38,46.93,101.65,129.02,97.62,47.35,177.57,190.54,74.13,43.65,91.92,119.75,249.12,106.48,131.94,56.01,93.07,68.19,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,171.82,113.5,76.31
+31-Dec-2018 16:52,157.7,43.38,46.93,101.65,129.02,97.62,47.35,177.57,190.54,74.13,43.65,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.19,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:53,157.7,43.38,46.93,101.65,129.02,97.63,47.35,177.57,190.54,74.13,43.65,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.17,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:54,157.77,43.38,46.93,101.65,129.02,97.63,47.35,177.57,190.54,74.13,43.65,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.17,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:55,157.77,43.38,46.93,101.65,129.02,97.63,47.35,177.57,190.54,74.13,43.55,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.17,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:56,157.77,43.34,46.93,101.65,129.02,97.63,47.35,177.57,190.54,74.13,43.55,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.17,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:57,157.77,43.34,46.94,101.65,129.02,97.63,47.35,177.57,190.54,74.13,43.55,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.19,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.31
+31-Dec-2018 16:58,157.77,43.34,46.94,101.7,129.02,97.63,47.35,177.57,190.54,74.13,43.75,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.19,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.5
+31-Dec-2018 16:59,157.77,43.34,46.94,101.7,129.02,97.55,47.35,177.57,190.54,74.13,43.75,91.92,119.75,249.12,106.48,131.94,56.11,93.07,68.19,95.32,322.5,127.07,108.89,53.48,109.65,7.54,166.8,172.0,113.5,76.6
+</pre>
+
+If you have your own source of 1-minute, split-adjusted, dividend-adjusted price quotes, and can format it per above then the notebook will run with it.