Algorithmic Trading Model for Mean-Reversion with RSI Exit Signal for a Group of Stocks Using Python

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.

INTRODUCTION: This algorithmic trading model compares a simple mean-reversion strategy with or without using RSI as the exit signal for an individual stock. The model will use a trend window size of ten days for long trades only. When the 14-day RSI value reaches 70, the model will exit the long position.

ANALYSIS: In this modeling iteration, we analyzed 14 stocks between January 1, 2016, and July 16, 2021. The models’ performance appeared at the end of the script.

CONCLUSION: For all the stocks during the modeling time frame, the long-only trading strategy with or without RSI as the exit signal did not produce a better return than the buy-and-hold approach, except for NFLX. We should consider modeling these stocks 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.