Trading strategy built using bollinger bands for 8 publicly traded securities.
Closing price were forecasted using an LSTM architecture with optimized learning rate, found using TensorFlow LearningRateScheduler
Using bollinger bands, a buy position will open when the price hits the lower band and sell when the price hits the upper band. In the example below, highest return of $57662 was reported for the following settings:
- Simple moving average period - 20
- Bollinger band period - 30
- daily strategy: contains notebook with daily strategies
- weekly strategy: contains notebook with weekly strategies
- monthly strategy: contains notebook with monthly strategies
- TensorFlow
- Pandas
- Numpy
- Matplolib
- Sklearn