Stock Forecasting

Improvement on Precision Score using Perforated Backpropagation™ + HIST

CSI 300 is a stock forecasting dataset

  • Stock Features

    • Top 300 stocks in the Chinese A-share market

    • Opening price, closing price, highest price, lowest price, volume weighted average price and volume

    • Looks back 60 days to construct a 360-dimensional historical stock data 

  • HIST out of Microsoft research (2022)

    • Graph-based framework

      • Mine the concept-oriented shared information between stocks for stock trend forecasting

    • Highest Annualized Return in Microsoft’s qlib model library

  • Best result shows improvement in precision score by 35%

    • Average improvement over 10 experiments of 8.6%

    • Graph showing 35% improvement over 50-50 baseline shown on right