Project: Breakout Strategy

Implement a breakout trading strategy and use backtesting to estimate its profitability.

For Udacity's AI for Trading Nanodegree.

Topic: Advanced Quantitative Trading.

Overview

• Creating and backtesting a breakout trading signal. Outliers are removed in order to ensure a robust backtesting process.
• The dataset is a set of end-of-day stock prices that comes from Quotemedia.

Concepts

• Identifying long and short breakout trading signals over various time windows.
• Filtering out repeated long/short signals inside each time window.
• Using the Kolmogorov–Smirnov test to identify outliers.
• Computing signal return only after removing all outliers that were discovered.

My Completed Project

• ipython notebook

Project Grading and Evaluation

• Project Review

Dependencies

• requirements.txt