Finance_MRTS-project

Designed, back-tested and optimized a data-driven quantitative trading strategy on real-world data in python using the data of 1 yearfor stocks listed at the NSE from theirrespective log files. Developed an intra-day mean reversion strategy to give greaterthan 20% return on capital(RoC) using Hurst exponent calculation and ARIMA model for prediction Calculated hurst exponents for each stock to classify them into mean reverting and trending stocks Calculated mean values and deviation using StockVWAP and price spread for different time frames Filtered the top 25 stocks using a criteria and implemented ARIMA model to predict future price of the stock Built a mean reversion trading strategy using predicting when to buy or sell/short the stock further details:https://docs.google.com/document/d/1ttSY7uiD3Lh9XXFHvYwSNvx7Z6VU7KKST1UgwQWF9Sk/edit stocks data: https://drive.google.com/drive/folders/1u0N40C42v12iaZNZF_H2ZemdrSmp6iPW