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Here I use an LSTM model to predict market regime. I use the predicted regimes as signals for my trading algorithm. I produce results that outperform a buy-and-hold strategy in terms of Sharpe ratio. My portfolio produces a Sharpe of 1.12.
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farhanbham/Market-State-Classifier
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Here I use an LSTM model to predict market regime. I use the predicted regimes as signals for my trading algorithm. I produce results that outperform a buy-and-hold strategy in terms of Sharpe ratio. My portfolio produces a Sharpe of 1.12.
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