NOTE: This script is for learning purposes only and does not constitute a recommendation for buying or selling any stock mentioned in this script.
SUMMARY: This project aims to construct and test an algorithmic trading model and document the end-to-end steps using a template. We will test trading models with the naïve momentum strategy.
INTRODUCTION: This algorithmic trading model examines a simplistic naïve momentum strategy in comparison to a buy-and-hold approach. The plan goes long (buys) on the stock when the daily closing price improves from the previous day for a pre-defined consecutive number of days. Conversely, we will exit the position when the daily price declines for the same successive number of days.
ANALYSIS: From this iteration, we analyzed the stock prices for Apple Inc. (AAPL) between January 1, 2020, and November 20, 2020. The trading model produced a profit of 23.22 dollars per share. The buy-and-hold approach yielded a gain of 44.58 dollars per share.
CONCLUSION: For the stock of AAPL during the modeling time frame, the trading strategy did not produce a better return than the buy-and-hold approach. We should consider modeling this stock further by experimenting with more variations of the strategy.
Dataset ML Model: Time series analysis with numerical attributes
Dataset Used: Quandl
The HTML formatted report can be found here on GitHub.