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Algo with Support Vector Machine in Pipeline

I wrote a base algo that incorporates machine learning in the pipeline. i.e. as the pipeline runs, it trains a ML model PER STOCK and comes up with a prediction on the stock's movement. The algo can then use the output of the pipeline and long the predicted up stocks and short the predicted short stocks.

As it stands, this algo does not perform well, but it can serve as a basis for someone else.

/Luc Prieur

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59cc0d4955c6cd54186072ed
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2 responses

Thanks!

Thank you for this