In this project we will apply machine to finance. You are a Quant/Data Scientist and your goal is to create a financial strategy based on a signal outputted by a machine learning model that over-performs the [SP500](https://en.wikipedia.org/wiki/S%26P_500).
In this project, you'll apply machine learning to finance. Your goal as a Quant/Data Scientist is to create a financial strategy that uses a signal generated by a machine learning model to outperform the [SP500](https://en.wikipedia.org/wiki/S%26P_500).
The Standard & Poor's 500 Index is a collection of stocks intended to reflect the overall return characteristics of the stock market as a whole. The stocks that make up the S&P 500 are selected by market capitalization, liquidity, and industry. Companies to be included in the S&P are selected by the S&P 500 Index Committee, which consists of a group of analysts employed by Standard & Poor's.
The S&P 500 Index is a collection of 500 stocks that represent the overall performance of the U.S. stock market. The stocks in the S&P 500 are chosen based on factors like market value, liquidity, and industry. These selections are made by the S&P 500 Index Committee, which is a group of analysts from Standard & Poor's.
The S&P 500 Index originally began in 1926 as the "composite index" comprised of only 90 stocks. According to historical records, the average annual return since its inception in 1926 through 2018 is approximately 10%–11%. The average annual return since adopting 500 stocks into the index in 1957 through 2018 is roughly 8%.
As a Quant Researcher, you may beat the SP500 one year or few years. The real challenge though is to beat the SP500 consistently over decades. That's what most hedge funds in the world are trying to do.
The S&P 500 started in 1926 with only 90 stocks and has grown to include 500 stocks since 1957. Historically, the average annual return of the S&P 500 has been about 10-11% since 1926, and around 8% since 1957.
As a Quantitative Researcher, your challenge is to develop a strategy that can consistently outperform the S&P 500, not just in one year, but over many years. This is a difficult task and is the primary goal of many hedge funds around the world.
The project is divided in parts:
The project is divided in parts:
@ -199,4 +201,5 @@ Note: `features_engineering.py` can be used in `gridsearch.py`
### Files for this project
### Files for this project
You can find the data required for this project in this [link](https://assets.01-edu.org/ai-branch/project4/project04-20221031T173034Z-001.zip)
You can find the data required for this project in this :
Oumaima Fisaoui
2 months ago