This trading strategy uses Random Forest Classifier in order to create buy or sell orders for the $SPY ETF outperforming buy & hold strategy
The model is trained using previous 30 days as features and classified using the upcoming 5 days. The accuracy could be better and the confussion matrix shows some big false-positives, but as the equity curve shows it can still be profitable.
Looking forward to improve the model performance
https://www.quantstart.com/advanced-algorithmic-trading-ebook/