I was curious to test a technical indicator on a large universe to have a statistically significant evidence of its ability to predict stock returns. So I wrote an algorithm that use RSI indicator (because is built-in in pipeline) but the results are not great.
It would be cool to see other technical indicators as well. To adapt this algorithm to other TIs modify the following:
- make_pipeline: you have to add your own indicator to pipeline instead of RSI
- before_trading_start: decide long/short positions and what positions to clear