Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection

Our paper on Cluster Analysis was inspired by our need to group client data by trading strategy, when the data we were provided did not contain any information on trading strategy whatsoever. We ended up relying on a well-known statistical technique, k-means, which surprisingly had not been used widely in trading applications. At the time, non-quant traders were still reluctant to use quantitative techniques, especially black box applications like k-means. Fortunately, a lot has changed since that time, as quants are now using much more sophisticated techniques, like deep learning. And even more important, non-quant traders and business leaders have become much more accepting of such techniques, making it easier for such advanced techniques to be incorporated into trading applications.

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An LSTM and GRU based Trading Strategy Adapted to the Moroccan Market

10.21203/rs.3.rs-526234/v1 ◽

2021 ◽

Author(s):

Yassine Touzani ◽

Khadija Douzi

Keyword(s):

Deep Learning ◽

Stock Market ◽

Short Term Memory ◽

Decision Rules ◽

Trading Strategy ◽

Local Market ◽

Short Term ◽

Term Memory ◽

Long Short Term Memory ◽

Gated Recurrent Unit

Abstract Forecasting stock prices is an extremely challenging job considering the high volatility and the number of variables that influence it (political, economical, social, etc.). Predicting the closing price provides useful information and helps the investor to make the right decision. The use of deep learning and more precisely the recurrent neural networks RNNs in stock market forecasting is an increasingly common practice in the literature. The Long Short Term Memory LSTM and Gated Recurrent Unit GRU architectures are among the most widely used types of RNN networks, given their suitability for sequential data. In this paper, we propose a trading strategy designed for the Moroccan stock market, based on two deep learning model: Long Short Term Memory LSTM and Gated Recurrent Unit GRU to predict respectively close price for short and mid term horizon. Decision rules for buying and selling stocks are implemented based on the forecasting given by the two models, then over four three-years periods, we simulate transactions using these decision rules with different parameters for each stock. We only hold stocks that ensure a return greater than a benchmark return over the four periods. Random search is then used to choose one of the available parameters and the performance of the portfolio built from the selected stocks will be tested over a further period. The repetition of this process with a variation of benchmark return makes it possible to select the best possible combination of stock each with the parameters optimized for the decision rules. The proposed strategy produces very promising results and outperform the performance of indices used as benchmarks in the local market.

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An LSTM and GRU based trading strategy adapted to the Moroccan market

Journal Of Big Data ◽

10.1186/s40537-021-00512-z ◽

2021 ◽

Vol 8 (1) ◽

Author(s):

Yassine Touzani ◽

Khadija Douzi

Keyword(s):

Deep Learning ◽

Stock Market ◽

Stock Prices ◽

Short Term Memory ◽

Random Search ◽

Decision Rules ◽

Trading Strategy ◽

Local Market ◽

Expected Return ◽

Closing Price

AbstractForecasting stock prices is an extremely challenging job considering the high volatility and the number of variables that influence it (political, economical, social, etc.). Predicting the closing price provides useful information and helps the investor make the right decision. The use of deep learning and more precisely of recurrent neural networks (RNNs) in stock market forecasting is an increasingly common practice in the literature. Long Short Term Memory (LSTM) and Gated Recurrent Unit (GRU) architectures are among the most widely used types of RNNs, given their suitability for sequential data. In this paper, we propose a trading strategy designed for the Moroccan stock market, based on two deep learning models: LSTM and GRU to predict the closing price in the short and medium term respectively. Decision rules for buying and selling stocks are implemented based on the forecasting given by the two models, then over four 3-year periods, we simulate transactions using these decision rules with different settings for each stock. The returns obtained will be used to estimate an expected return. We only hold stocks that outperform a benchmark index (expected return > threshold). The random search is then used to choose one of the available parameters and the performance of the portfolio built from the selected stocks will be tested over a further period. The repetition of this process with a variation of portfolio size makes it possible to select the best possible combination of stock each with the optimized parameter for the decision rules. The proposed strategy produces very promising results and outperforms the performance of indices used as benchmarks in the local market. Indeed, the annualized return of our strategy proposed during the test period is 27.13%, while it is 0.43% for Moroccan all share Indice (MASI), 15.24% for the distributor sector indices, and 19.94% for the pharmaceutical industry indices. Noted that brokerage fees are estimated and subtracted for each transaction. which makes the performance found even more realistic.

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Deep Learning

10.1017/cbo9780511780295 ◽

2009 ◽

Cited By ~ 94

Author(s):

Stellan Ohlsson

Keyword(s):

Deep Learning

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Intelligence artificielle : le futur de l’Orthodontie ?

Revue d Orthopédie Dento-Faciale ◽

10.1051/odf/2019026 ◽

2019 ◽

Vol 53 (3) ◽

pp. 281-294

Author(s):

Jean-Michel Foucart ◽

Augustin Chavanne ◽

Jérôme Bourriau

Keyword(s):

Big Data ◽

Deep Learning ◽

Intelligence Artificielle ◽

Set Up

Nombreux sont les apports envisagés de l’Intelligence Artificielle (IA) en médecine. En orthodontie, plusieurs solutions automatisées sont disponibles depuis quelques années en imagerie par rayons X (analyse céphalométrique automatisée, analyse automatisée des voies aériennes) ou depuis quelques mois (analyse automatique des modèles numériques, set-up automatisé; CS Model +, Carestream Dental™). L’objectif de cette étude, en deux parties, est d’évaluer la fiabilité de l’analyse automatisée des modèles tant au niveau de leur numérisation que de leur segmentation. La comparaison des résultats d’analyse des modèles obtenus automatiquement et par l’intermédiaire de plusieurs orthodontistes démontre la fiabilité de l’analyse automatique; l’erreur de mesure oscillant, in fine, entre 0,08 et 1,04 mm, ce qui est non significatif et comparable avec les erreurs de mesures inter-observateurs rapportées dans la littérature. Ces résultats ouvrent ainsi de nouvelles perspectives quand à l’apport de l’IA en Orthodontie qui, basée sur le deep learning et le big data, devrait permettre, à moyen terme, d’évoluer vers une orthodontie plus préventive et plus prédictive.

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