Machine Learing|Mean Reversion|The Bottom Of The Q500

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Machine Learing|Mean Reversion|The Bottom Of The Q500

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Machine Learning Mean Reversion

Basic Machine Learning Models and Mean Reversion Techniques are rather popular on Quantopian's forums right now. I went ahead and tweaked the ideas (for now [I'm busy] this uses a modified version of "Enhancing Mean Reversion"- that will soon change), then combined them (then optimized them some more). The bottom of the Q500 just comes from: (pricing < 6 )and is vital to the algorithms success. You can get similar success with the bottom of the Q1500. There is also some success to be found in limiting the pricing to10 < pricing < 30with certain sectors. The sector codes can be annoying to find so here they are:

1 Cyclical
101 Basic Materials 102 Consumer Cyclical 103 Financial Services 104 Real Estate
2 Defensive
205 Consumer Defensive 206 Healthcare 207 Utilities
3 Sensitive
308 Communication Services 309 Energy 310 Industrials 311 Technology
[This is from page 9][1]

This is still very much a work in progress. The algo will not run if you run it through may of 2016 and I have a fix (but it's compute time is stupid high I'm working on reducing it)

I understand that most are not ok with loading all money on one stock. The whole point of algorithms is to increase returns whilst reducing risk and thus, I have no issue with it. Also, this is being built specifically to grow a small amount of money.

Thanks for stopping by
-J

[1]: http://corporate.morningstar.com/us/documents/methodologydocuments/methodologypapers/equityclassmethodology.pdfhttp://

3 responses

IGNORE THE TITLE OF THE NOTEBOOK that was its previous purpose. wooops

Still very much a WIP

Looks cool! im going to clone it to see how it works :P

Edit: Would be nice if you list the changelog between each share.

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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.