Applying Graph Theory to Algorithmic Trading | Time Series Visibility Graphs

Showing off visibility graphs for an algorithmic trading application. We compute visibility graphs of the price in a rolling window then compute network science metrics on the resulting graph to get an interesting indicator.


Patreon:   / neurotrader  
Code: https://github.com/neurotrader888/Tim...


Links
https://en.wikipedia.org/wiki/Visibil...
https://en.wikipedia.org/wiki/Network...
https://networkx.org/
https://github.com/CarlosBergillos/ts2vg

Paper for efficient time series to visibility graph conversion
Xin Lan, Hongming Mo, Shiyu Chen, Qi Liu, Yong Deng; Fast transformation from time series to visibility graphs. Chaos 1 August 2015; 25 (8): 083105.


The content covered on this channel is NOT to be considered as any financial or investment advice. Past results are not necessarily indicative of future results. This content is purely for education/entertainment.