Hands-On Machine Learning for Algorithmic Trading

How to conduct inference with statsmodels

We will illustrate how to use logistic regression with statsmodels based on a simple built-in dataset containing quarterly US macro data from 1959 – 2009 (see the notebook logistic_regression_macro_data.ipynb for detail).

The variables and their transformations are listed in the following table:

Variable	Description	Transformation
realgdp	Real gross domestic product	Annual Growth Rate
realcons	Real personal consumption expenditures	Annual Growth Rate
realinv	Real gross private domestic investment	Annual Growth Rate
realgovt	Real federal expenditures and gross investment	Annual Growth Rate
realdpi	Real private disposable income	Annual Growth Rate