Category Archives: Machine Learning

How Not to Develop Trading Strategies – A Cautionary Tale

In his post on Multi-Market Techniques for Robust Trading Strategies (http://www.adaptrade.com/Newsletter/NL-MultiMarket.htm) Michael Bryant of Adaptrade discusses some interesting approaches to improving model robustness. One is to use data from several correlated assets to build the model, on the basis that … Continue reading

Posted in Algorithmic Trading, Futures, Machine Learning, S&P500 Index, Trading | Tagged , , , , , | Comments Off

A Primer on Genetic Programming

Posted by androidMarvin: Genetic programming is an approach to letting the computer generate its own program code, rather than have a person write the program. It doesn’t specifically “find patterns” or rules within data structures. It starts with a number … Continue reading

Posted in Machine Learning | Tagged , , , | Comments Off

Developing High Performing Trading Strategies with Genetic Programming

One of the frustrating aspects of research and development of trading systems is that there is never enough time to investigate all of the interesting trading ideas one would like to explore. In the early 1970’s, when a moving average … Continue reading

Posted in Algorithmic Trading, High Frequency Trading, Machine Learning, Market Efficiency, Nonlinear Classification | Tagged , , , , , , , , , , , , , , | Comments Off

Can Machine Learning Techniques Be Used To Predict Market Direction? The 1,000,000 Model Test.

During the 1990′s the advent of Neural Networks unleashed a torrent of research on their applications in financial markets, accompanied by some rather extravagant claims about their predicative abilities.  Sadly, much of the research proved to be sub-standard and the … Continue reading

Posted in Direction Prediction, Forecasting, Logit Regression, Machine Learning, Matlab, Modeling, Nearest Neighbor, Neural Networks, Nonlinear Classification, Nonlinear Dynamics, Random Forrests, S&P500 Index, Support Vector Machines | Tagged , , , , , , , | Comments Off