Brent Crude Oil Futures price movements prediction

Classification Algorithm to Predict Price Movements & Strategy Evaluation Technique

Algorithmic trading strategy evaluation based on crude oil data set

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Prediction and classification are important and of great interest for the simple fact that successful prediction of stock prices lead to rewarding benefits. However, there is no universal common set of rules but a series of highly complicated and quite difficult tasks are involved for such prediction.

Here, we will show a simple use case to showcase how classification rule can be applied to obtain a trading strategy and conclude with a performance testing of the strategy by running a simple script.

Let us load the data from Quandl.

BC = BC.loc['2010-01-01':,]
BC.sort_index(ascending=True, inplace=True)
BC.tail()

Let us investigate the data and do necessary pre-processing for machine learning.