Trading rules using machine learning
This is my financial trading using ML.
Momentum prediction and enhancing the strategy with machine learning
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Financial Data and Bars
- Form time/dollar bars with tick data
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Get Buy/Sell Signals
- Momentum strategy (RSI..)
- Additional ML regime detector
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Trading Rules
- Set enter rules with trading signals from classifiers
- Set exit rules with profit-taking, stop-loss rate, and maximum holding period
- (For enhancing the strategy) Label the binary outcome (Profit or Loss)
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Strategy-Enhancing ML Model
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Trading Decision
- Decide to bet or pass for each trading signal from the momentum strategy. The ML model above will help you.
- Bet sizing with some advanced models (in progress)
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Backtesting
- Cumulative returns, Sharpe ratio, max drawdown, win ratio
References:
- Advances in Financial Machine Learning, Lopez de Prado (2018)
Flowchart