Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
3.17StocksReference
Machine learning – single-stock KNN
Predict each stock’s return over the next few days from the outcomes of the k most similar past situations, where similarity is measured on normalised moving averages of price and volume.
Why there is no chart
A model-training step; the formula language does not fit nearest-neighbour searches.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 3.17 · Stocks
- Asset class
- Stocks
- In the lab
- Explained, not backtested
Machine learning – single-stock KNN (3.17)
Predict each stock’s return over the next few days from the outcomes of the k most similar past situations, where similarity is measured on normalised moving averages of price and volume.
Key equation
Data it needs
A model-training step; the formula language does not fit nearest-neighbour searches.
More in Stocks
- 3.1 Price momentum
- 3.2 Earnings momentum
- 3.3 Value
- 3.4 Low-volatility anomaly
- 3.5 Implied volatility
- 3.6 Multifactor portfolio
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.