## FORECASTING STOCK RETURNS WITH BIG DATA AND MACHINE LEARNING

### OVERVIEW:

**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.

### SUMMARY

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.

### SAMPLE STRATEGY

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

Please take a look at our research notebook with more detail about the model data and the process