Hi Ton,
1. ML stands for Machine Learning
2. I am planning to write some sort of tutorial detailing step by step the procedure followed.
From: 'Ton Sieverding' ton.sieverding@scarlet.be [amibroker]
Sent: Monday, March 7, 2016 2:41 PM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Machine Learning: my first system
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 group
Sent: Monday, March 07, 2016 12:51 PM
Subject: [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:
Attachment(s) from Aron Pipa | View attachments on the web
4 of 4 Photo(s)
Posted by: Aron Pipa <aron@myafl.com>
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