Current status: Algo has been taken down while we fix an issue with the code!
We recently released Logitbot's 100/500 ML stock return predictions datafeed into Pipeline and wanted to show you how to use it in an algorithm. This is a version of Logitbot's algorithm that's been ported over to be Q2 and utilizes the pipeline.
This algorithm hosts a few improvements over the original:
- Limiting the number of stocks held to 200 to control leverage (which is settable)
- Closing the positions that are held for longer than 5 days whereas the original strategy simply held securities
- Picking the highest and lowest predicted returns (rather than just ones that pass the threshold)
- Buying long term bonds when enough stocks don’t fit the criteria
- Using Logitbot's data through Pipeline with data since 2010 rather than their sample file
For those curious about the data, they've also published a notebook detailing a bit more of their methodology.