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Posts by NameBack

Eh, the "breakthrough" was a bust. No good way to predict which way to up-weight ahead of time. Ah well, the system as-is works great anyway. Here's all of our backtesting up to this point:
Think I just hit on a major improvement tonight! The way I had been building the ground truths that the machine learning algos were training on was biasing them towards a certain subset of strategies. This actually has some benefits, as for stocks who perform well using those strategies, the overall out-of-bag error is much lower for the strategies that are overrepresented in the ground truth. However, there have been some equities that stubbornly refused to perform well...
It's no guarantee of future returns, but like I said, our backtesting is totally unbiased, so that is what we would have earned. I'll post a chart of our results so far in a bit.
Some of it is done in Excel, but a lot is done in R.
Or in general. Either works.
Also, can someone recommend some high-volatility stocks with decent-to-high liquidity that have been around since at least the beginning of 2004? Anything that meets those criteria would be appreciated.
I'm tempted to run a backtest on GLUU just to see what we would have made compared to you javyn. :PWhat year did you buy in?
New backtesting with new more rigorous methodology is lookin' fucking sick. We abandoned trying to find any kind of correlation between returns during different time periods, because there wasn't any. So instead we select ten models at random, average their positions together, and use them for a two week period before rebuilding all the models and doing it again. Thus, the results of our backtesting represent exactly what we would have earned on a given equity in a...
This is a great post!
Put it to use and raise our AUM.We've already raised enough money for all the legal and administrative costs required to set up a hedge fund; we're just waiting to build a track record and make sure everything works before we pull the trigger on founding the fund.
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