Demo Alpha Strategy Using ML

This repository is for demo and instruction purpose only.

Environment Setup

The following packages are required:

pandas
numpy
lightgbm

Data

Download daily stock data. In this demo, only price and volume information is used.

How to Run

In this demo, a GBDT on raw price and volume info is used to predict future price.

python run_lgb.py --data <path-to-downloaded-daily-price-csv>

Backtest

In this demo, transaction fee is not considered and trades are assumed to be settle on close price.