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Yuriy Podvysotskiy

Updated: November 20, 2019

Try-out this web-app: https://yuriyp.shinyapps.io/investing_app/

Project:

1 - Use of Random Forest for portfolio construction:

Has the following components:

  1. Obtaining all relevant data (using S&P100 as the 'universe')
  2. Training and testing a Machine learning model to predict future changes of stock price
  3. USe the model to construct and re-balance stock portfolio. Evaluation of the portfolio performance.

2 - User interaction for portfolio construction:

  1. Implements reversal strategy, but takes specific inputs from the user (e.g. top returns(t-1) quantile, threshold for revenue growth, and threshold for EBIT margin.
  2. Constructs and re-balances stock portfolio, based on the considered rules. Runs evaluation of the portfolio performance.

my_project.py - Complete code for generation of the results