Stock Trend Following Model in RapidMiner

Recently I discovered in my old archives a stock trend following model I started in RapidMiner. I never finished it back then but now I cleaned it up. I’m releasing it to the world as beta (use at your own risk) and will probably have some bugs” in it. The trend following model is based on Blackstar Funds, LLC paper Does Trend Following Work on Stocks?

The process is not production ready and there are some clean up things I need to do. I need to write a function that will cleanly output the ATR stops so I can chart them like in the paper.

Of course, the ultimate goal is to loop over a daily list of 52 week new highs and spit out recommendations, but that’s for another post and another process altogether.

Here’s a snapshot of the first part of the process.

stock-trend-following-process

Get the Stock Trend Following Model in RapidMiner

I have lots of RapidMiner and Finance/Trading related processes and posts in my Tutorial section, make sure to check those out too!

To get this Stock Trend Following Model, just download the zipped file here. You’ll need to install the Finance/Economics and Series extensions for the RapidMiner marketplace first to get this to work.