NoxTrader: LSTM-Based Stock Return Momentum Prediction for Quantitative Trading
“Through the use of filtering techniques, we improved the initial -60% investment return to 325%.”
AssetEquities
StrategyMomentumportfolio optimization
TechniqueRecurrent neural network
GeographyUS
Also stated: Profit, Long-short, Price and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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