Hidden Markov Model Package Import

Technical Help
#1

I'm researching using the Hidden Markov Model (HMM) as a regime filter (Use Markov models to detect regime changes). Depending on the results of the backtests I may want to use it in production / live trading. There is a library / package "hmmlearn" that can be installed (hmmlearn — hmmlearn 0.3.2 documentation). A couple of questions:

  1. If I use the "hmmlearn" library in which containers would I need to install it to research and then ultimately use for live trading?
  2. Does Quantrocket have a similar ML package or alternative approach I should consider?

Thank you.

#2
  1. For Zipline strategies, you should install packages in the jupyter and zipline containers. More information on installing custom packages can be found in the usage guide.
  2. hmmlearn used to be part of scikit-learn but was moved to a separate package so it is probably the best (only?) choice for HMM.
1 Like