Hi Aron,
I love that graph showing the difference between risk controlled and B&H investment. Looks like a kind of VQT simulation. Some questions because it seems I have missed something :
1. What do you mean with ML strategy ?
2. Do you want to share the code ?
Kind regards, Ton.From: Aron Pipa aron@myafl.com [amibroker]
To: AB groupSent: Monday, March 07, 2016 12:51 PMSubject: [amibroker] Machine Learning: my first system [4 Attachments]Just build my first strategy using ML.
Trades: Long Only
Position Sizing : fixed dollar value ( 10,0000)
Learning algorithm : Logistic Regression
Target : y5 > y 4
Features: y [n] / y[n-1]
Out of Sample Performance:
A different strategy (buy& hold) is used in-sample just to be able to compare.
Execution:
__._,_.___
Posted by: "Ton Sieverding" <ton.sieverding@scarlet.be>
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (1) |
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
.
__,_._,___
EmoticonEmoticon