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Tripple-Barrier extension suggestion #451
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There is a minor error on the labeling function get_events() of the triple barrier: Line 148:
it should be 1 instead of 0:
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@davilramos, well spotted. @PanPip will you please do a fix for this in the morning? Then we can do a hotfix into master. |
@davilramos Thank you for noticing! This issue is now fixed. |
Any progress on the extension? Should be simple, like adding a bool to identify whether to use returns or actual differences. |
Tripple-Barrier extension suggestion:
Add magnitude move barriers not determined by percentage moves, for example, a 10 cent move.
Say you are interested in some spread between two or more instruments. This spread can be positive, negative or even zero. The percentage moves don't make sense here.
A quick fix would be to convert your spread to the dollar value invested since inception, a la etf trick. However, sometimes the absolute magnitude of the move is of interest.
Another practical example in the futures space would be something like a limits up/down filter for events.
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