I am very interested to use anomaly detection models to look at stock price. I picked Tesla, whose stock price has been increasing crazily in recent years. Although its operating income was still negative by the end of year 2021 and its fundamental analysis statistics were discouraging, the unit stock price kept raising from less than 20 dollars in mid-2019 to almost $400 in late-2021. It's 20 times growth within 2 years! Technical analysis can be useful to capture anomalies from market data and therefore discover trading opportunities. The concept of tolerance band is similar to Bollinger Band as the popular technical analysis indicator of algrothimic trading.
I performed the following procedures:
- Simple moving average
- Exponential smoothing
- Seasonal-Trend Decomposition
- Use the Prophet module
Conclusion: Justify each of the models why they can identify anomalies.