1. Intro
You want to think like a ‘data scientist’ who wants to manage his/her portfolio or manage hedge funds (the problem domain) in an investment firm. You will learn to design trading strategy based on your predictions and back testing. These predictions will come from Machine learning. Algo trading with ML will result in learning following skills:
- Technology stack: Setting up a local environment and sourcing data
- Engineering financial features for predictive modeling (data manipulation and analysis)
- Linear regression model (It is ML machine learning!)
- Evaluating our ML model.
- Quality of ML predictions (performance analysis)
- Fine tuning algorithms to improve results.
- Understand Algorithms’ results
- Back testing a trading strategy
- Evaluating the performance of our trading strategy
- Evaluating the performance (report of this project)
- GO TO MODULE 1 (SETUP & PREPRATION)
2. Prodictive features
This is the meat and potatoes of this project, to engineer financial features, from ‘technical indicators’ about future returns. In plain English it is data manipulation and analysis.
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Lorem ipsum dolor sit amet, consectetur adipiscing elit. Nunc ullamcorper condimentum ultrices. Cras euismod ornare laoreet. Quisque vel efficitur quam, eu molestie odio. In hac habitasse platea dictumst. Integer diam sapien, aliquet sit amet feugiat vel, tempor nec leo.
3. Design
Build, tune, and test an ML model to predict asset returns for a given price horizon.
4. Design
Evaluate the Quality of model’s predictions.
5. BUILD A TRADING STRATEGY
Develop a trading strategy by defining rules that translate model predictions into trades.
Lorem ipsum dolor sit amet, consectetur adipiscing elit. Nunc ullamcorper condimentum ultrices. Cras euismod ornare laoreet. Quisque vel efficitur quam, eu molestie odio. In hac habitasse platea dictumst. Integer diam sapien, aliquet sit amet feugiat vel, tempor nec leo.
Lorem ipsum dolor sit amet, consectetur adipiscing elit. Nunc ullamcorper condimentum ultrices. Cras euismod ornare laoreet. Quisque vel efficitur quam, eu molestie odio. In hac habitasse platea dictumst. Integer diam sapien, aliquet sit amet feugiat vel, tempor nec leo.
Lorem ipsum dolor sit amet, consectetur adipiscing elit. Nunc ullamcorper condimentum ultrices. Cras euismod ornare laoreet. Quisque vel efficitur quam, eu molestie odio. In hac habitasse platea dictumst. Integer diam sapien, aliquet sit amet feugiat vel, tempor nec leo.
6. Backtest
Step five resulted in building a trading strategy, now it’s time to back test the strategy.
7. EVALUATE
Finally, we are ready to evaluate the result using performance and the risk measures.