I used returns of 1 day lag, 5 day lag and 10 day lag to fit and predict future returns, and long top 5 stocks and short bottom 5 stocks on a selected stock portfolio. The results are not quite impressive but can be improved.
Huapu, cool share! How did you select the starting stock universe?
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That's right. The stocks are just big companies and it is not a careful selection. I mainly want to see if fitting the returns can give you an edge in trading but at least this particular set of parameters didn't lead to a good edge. But if we use other indicators or even out-of-market data to do the regression there could be better results.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.