Machine Learning Methods for Predicting Trading Behaviour of an Actively Managed Mutual Fund

Sammanfattning: This paper aims to reverse engineer the tradingstrategy of an actively managed mutual fund by identifyingtechnical patterns in their trading. Investment strategies formany institutional investors consists of both fundamental andtechnical analysis. The purpose of the paper is to explore towhich extent the latter can be used to predict the trading actionsby taking some commonly used technical indicators as input invarious machine learning algorithms to assess patterns betweenthem and the trading of the fund. Furthermore, the technicalindicators’ ability to predict future prices is analysed using thesame methods. The results are not sufficiently clear to suggestthat the fund uses technical indicators to begin with, let alonewhich ones. As for the prediction of future prices, the technicalindicators appear to have some predictive ability.