LightGBM Baseline Model for Quantitative Trading using Stock Market Data
Model trained on Kaggle + 2Sigma Competition dataset, see link below for evaluation metrics and dataset information:
- https://www.kaggle.com/c/two-sigma-financial-news
- https://www.kaggle.com/alexjmartinez/lightgbm-w-market-indicators
Model contains a variety of created features from the original dataset. Specifically statistical models for indicating metrics such as trend, momentum, volume, and volatility:
- Bollinger Bands
- Moving Averages
- Force Index
- True Strength Index
- Sharpe Score