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This trading strategy uses Random Forest Classifier in order to create buy or sell orders for the $SPY ETF outperforming buy & hold strategy

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joacosnchz/spy-randomforest-trading

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Abstract

This trading strategy uses Random Forest Classifier in order to create buy or sell orders for the $SPY ETF outperforming buy & hold strategy

Description

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.

Equity Curve

Looking forward to improve the model performance

Sources

https://www.quantstart.com/advanced-algorithmic-trading-ebook/

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This trading strategy uses Random Forest Classifier in order to create buy or sell orders for the $SPY ETF outperforming buy & hold strategy

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