- Machine Learning With DLPAL PRO: Part Five December 9, 2016
In this article we compare the out-of-sample performance of a trading strategy and a machine learning model that use the exact same features. The most important aspect of machine learning is the availability of features (also known as attributes or predictors) ...
- RSI Levels Importance Decay November 30, 2016
Changes in Relative Strength Index (RSI) have low correlation with changes in price for timeframes longer than two days. This relationship is highly robust for four major ETFs. The conclusion is that only very short-term traders should look at the ...
- Machine Learning With DLPAL PRO (And R): Part Four November 20, 2016
In this article we include R code for applying binary logistic regression classification to attribute data generated by DLPAL PRO and scoring a new instance. In Part Three, we presented the flow and details of how to generate historical attribute (features) ...
- Machine Learning With DLPAL PRO: Part Three November 14, 2016
DLPAL PRO’s advanced capabilities are used to implement a long/short ETF strategy. We present the flow and examples of historical attribute, test/train and scoring files. A Binary Logistic Regression classifier is used to obtain the final results. Objective: Implement a long/short ...
- Machine Learning With DLPAL PRO: Part Two November 8, 2016
In this article we show how to prepare historical files with continues features and a discrete target for an ensemble of securities using DLPAL PRO. Then, we apply machine learning on a random sample of half of the data and ...
- Machine Learning With DLPAL PRO: Part One November 3, 2016
In this article we show how to prepare historical files with continues features and a discrete target using DLPAL PRO. Then, we apply a binary logistic regression classifier on a random sample of half of the data and test the ...
- Is Your Hedge Fund Using Your Money To Test Trading Strategies? November 1, 2016
Is Your Hedge Fund Using Your Money To Test Trading Strategies?
- Returns of Dow-30 And S&P 500 Diverge 10% Of The Time October 27, 2016
Yesterday, the Dow Jones Industrial Average gained 0.17% but the S&P 500 fell by about the same amount. Divergences in the returns of these two indexes occur about 10% of the time in daily, weekly and monthly timeframes and they ...
- Dreams Of Profits From Machine Learning: The Next Big Market Trap October 17, 2016
Value and institutional investors, market makers, specialists and other savvy professionals profited handsomely in the last three decades from the losses of traders using naive technical analysis, such as chart patterns and simple indicators.
- Variations In Results From Different Backtesting Platforms September 29, 2016
Variations in the results generated by different backtesting platforms are common. In this article, I compare year-to-date backtesting results from Amibroker and Quantopian for a robust strategy that was machine designed by Price Action Lab software a few years ago. ...
