fischlerben/Algorithmic-Trading-Project
Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio returns. The respective factors are used as features in a Machine Learning model and portfolio results are evaluated and compared.
This project helps quantitative traders and portfolio managers evaluate algorithmic trading strategies built on the Fama-French Three and Five-Factor models. You provide historical stock prices and Fama-French factor data, and it generates predictions of stock returns, trading signals, and backtested portfolio performance metrics. The output allows you to compare which Fama-French model is more effective for generating trading signals.
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Use this if you are a quantitative trader or portfolio manager looking to test and compare Fama-French factor models for predicting stock returns and generating trading signals.
Not ideal if you are a novice investor looking for a ready-to-use trading bot or real-time trading system, as this project focuses on backtesting model effectiveness.
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Last pushed
Feb 03, 2021
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