Back to Community
predict tomorrow price with machine learning(sklearn)

I wrote a simple program, to predict tomorrow price by machine learning.

I wrote some much more complex locally.

Loading notebook preview...
Notebook previews are currently unavailable.
3 responses

This just runs a logistic regression predicting tomorrow's return, with 120 features, being the previous 120 days' returns?

Does it work?

Itd be interesting to plugin some technical indicators. I've done this before with simple single candlestick patterns. It seems like, given that the machine learning algo didnt overfit, it does provide more information than a simple coin toss

I did that a bit ago, albeit in a rather naive way. I ditched the idea for a while though. It makes few trades and is heavily dependent on what the cutoff is. Maybe you'll get better results if the cutoff can also be learned, of if it looks for stocks that just beat SPY?

Clone Algorithm
190
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 55da4c79585ea90d9a5ba86c
There was a runtime error.