Tag: SPL Quantitative Trading Practice Series: Linear Regression Strategy

In the stock market, there may be a linear relationship between the stock price on the current day and stock prices in several previous trading days. According to this concept, we design the following strategy: 1. Use data of the 100 trading days before the current day as the training data; 2. Among the training data, set closing price on each day’s next day as the target variable; 3. Among the training data, use the opening price, the highest price, the lowest price and the closing price of each day’s recent M days as the metrics; 4. Perform Principal Component