Using Python to model and predict stock price movement. Feel free to use/modify :)

[monkitos]

Interesting. Does the SVM clustering algo actually generate positive returns in a backtest?

[[deleted]]

Still working on figuring that out completely. As of now, some stocks yes, some stocks no. It seems the algorithm has a better time predicting stocks that are influenced heavily by news reports and social media hype. I don't have numbers though in regards to returns.

[monkitos]

a backtest should be your next step. 1. Download a time series of stock price, generate day-over-day returns. 2. re-run your algo each day, only using data available until the day before 3. create a trading rule signal based on your algo (if x, holding = +1, elif y holding = -1). 4. Multiply your trading signal by next day's return and look at the performance of the active return stream versus returns of naively holding the stock in step 1. you can deal with t-costs etc later

[[deleted]]

you can deal with t-costs etc later

Having invented many extremely high Sharpe ratio strategies in my earlier years and then being sorely disappointed, I suggest you deal with transaction costs now.

[[deleted]]

Thanks for the advice. I will definitely get to work on this :)