Machine learning in trading: theory, models, practice and algo-trading - page 2653
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About the power of diversification
Let's say we have a TC who doesn't make very good money, not very good at all.
Here's its yield curve
In fact, it is a random noise with a very weak trend added, the trend is so small that it is not visible to the eye in the noise.
The problem is that this "very weak trend" in our case is directed downwards, not upwards, and it is called trading costs (commission, slippages, mark-ups) ;)
So adding 100K strategies, even if they are not correlated, will result in a faster drain.
There's an honourable mention here, a classy little thing.
happy to serve
I should write an article about it.
The problem here is that this "very weak trend" in our case is directed downwards, not upwards, and is called trading costs (commission, slippages, mark-ups) ;)
Therefore, adding 100K strategies, even if they do not correlate, will result in faster draining.
Awww, congratulations!!!
The TS by definition is considered a profitable algorithm, i.e. the trend is up. And what you have described, it's random + costs.
It is profitable on the history... But online it is just as I described - the more active you trade, the faster you will lose money ;)
But this is philosophy, sorry for the off-topic.
It is profitable on the history... But online it is just as I described - the more active you trade, the faster you will lose money ;)
But this is philosophy, sorry for off-topic.
There's an honourable mention here, a classy little thing.
happy to serve
I should write an article about it.
Congratulations! Really impressive number of sales.
Congratulations! Really impressive number of sales.
Similar, but it seems that parameters can only take a few given values, not an arbitrary real number.
https://github.com/fnoorian/gramEvol/issues/21
Here's some more , developed into interesting solutions