- The “quantmod”, “TTR” and “PerformanceAnalytics” libraries are the three most used R libraries for quantitative finance
feature engineering:
- tranform raw data to meaningful information for model
- good features also rely on domain knowledge
goal:
- recommend trading strategy for AMZN, GOOGL, FB stocks.
- performance in-sampling backtesting for three trading strategies for each stock-
- Conclude the best trading rule. Perform the out-of-sample test.