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[Alpha] Implement stacked LSTM for predicted alpha in event market - #73

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tjluyao merged 4 commits into
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cyx/feat3
Apr 8, 2026
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[Alpha] Implement stacked LSTM for predicted alpha in event market#73
tjluyao merged 4 commits into
mainfrom
cyx/feat3

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Adds a new LSTM-based alpha model with test coverage.

Event LSTM Alpha

  • Implements EventLstmAlpha in alpha/EventLstmAlpha.py.
  • Loads a pre-trained stacked LSTM and generates predictions from the DataFrame's "close" prices.
  • Predictions are appended as a lstm_pred column.

Testing

  • Adds TestEventLstmAlpha in tests/test_alpha.py using synthetic OHLCV data.
  • Tests verify the prediction column exists, NaNs are handled correctly, and predictions are within the expected range.

@CYX22222003 CYX22222003 changed the title Implement stacked LSTM for predicted alpha in event market [Alpha] Implement stacked LSTM for predicted alpha in event market Apr 7, 2026
@tjluyao
tjluyao merged commit cafda3d into main Apr 8, 2026
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