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LightGBM Baseline Model for Quantitative Trading using Stock Market Data

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alexanderjulianmartinez/LightGBM-Quant-Model

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LightGBM-Quant-Model

LightGBM Baseline Model for Quantitative Trading using Stock Market Data

Model trained on Kaggle + 2Sigma Competition dataset, see link below for evaluation metrics and dataset information:

Model contains a variety of created features from the original dataset. Specifically statistical models for indicating metrics such as trend, momentum, volume, and volatility:

  • Bollinger Bands
  • Moving Averages
  • Force Index
  • True Strength Index
  • Sharpe Score

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LightGBM Baseline Model for Quantitative Trading using Stock Market Data

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