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 trend-following 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 26, 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 Citigroup (C), Southwest Airlines (LUV), and Wells Fargo Bank (WFC). 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.