bryanpze / jpx-algo

JPX Tokyo Stock Exchange Prediction

Overview

A bunch of algo trading strategies tested for the JPX Tokyo Stock Exchange Prediction

Actual Submission

My submission got nullified due to a coding error. After submitting my original submission as a late submission, it received lb score of 0.281, which would mean 11th place out of 1041 teams.

Original Submission

Based on the paper by Andrew Lo at MIT Source Buy stocks with worst previous one day returns, short the ones with the best previous one day returns. Ignoring transactions costs, the paper showed a Sharpe ratio of 4.47, which was the exact scenario in the competition since there was no transaction costs. Only smallcap stocks are selected due to higher volatility.