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Forecasting Stock Returns With Big Data and Machine Learning


LogitBot Inc. uses machine learning and other advanced technologies to deliver investment insights and predictive analytics to investors across multiple time horizons. We combine massive amounts of data into a graph of the world's financial information and employ sophisticated models to uncover hidden relationships in order to understand and predict how markets are likely to behave.


We are excited to demonstrate to the Quantopian community how they can leverage our predicted stock return model outputs as a valuable signal in systematic trading strategies. The predictions we are making available on Quantopian consider a large variety of predictors ranging from fundamental factors, historical returns to credit and interest rate spreads, commodity prices and fx fluctuations to forecast log returns at 5 day horizon.


We have shared a trading strategy that utilizes the model forecasts to generate attractive returns. A 5 year backtest of the strategy on Quantopians platform results in:
Total Returns of 239.42% vs SPY 112.4%
Alpha: 0.33
Beta: 0.18
Sharpe: 3.20
Sortino: 4.06

We have made a sample dataset with 1 year worth of data available here

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3 responses

How do I invest :)

some of those turnover spikes look pretty dangerous

Hi, do you have out-of-sample tests for your algo?