A comprehensive introduction to how ML can add value to the design and execution of algorithmic trading strategies
View the Project on GitHub stefan-jansen/machine-learning-for-trading
The notebook storage_benchmark compares the main storage formats for efficiency and performance.
In particular, it compares:
It uses a test DataFrame
that can be configured to contain numerical or text data, or both. For the HDF5 library, we test both the fixed and table format. The table format allows for queries and can be appended to.
In short, the results are:
The notebook illustrates how to configure, test, and collect the timing using the %%timeit
cell magic. At the same time demonstrates the usage of the related pandas commands required to use these storage formats.