Data Analytics, Visualization and Processing of a Time Series Problem (Finance)

This repository contains a Jupyter notebook that demonstrates how to build a primary trading model using dollar bars, the CUSUM filter, and the triple barrier method.

Notebook: https://github.com/bishalu/SS_finance/blob/main/notebooks/01_primary_model.ipynb

Methods: https://github.com/bishalu/SS_finance/tree/main/utils

In the notebook, we will guide you through various data processing techniques and methods to improve the reliability and accuracy of trading signals. We will cover the following topics:

1. Data cleaning and preprocessing
2. Creating dollar bars from tick data
3. Generating trading events using the CUSUM filter
4. Implementing the triple barrier method