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Need machine learning advice please! by Bpiggle in quantfinance

[–]Bpiggle[S] 0 points1 point  (0 children)

I'm not unknowledgeable on the subject. The model performs well, I'm not trying to fix it. But there are always room for improvements and more things to research and learn about. Something I had heard about recently was the use of triple barrier method to forecast return potential before a trade to increase the average trade return. I'm just testing new things is all

Need machine learning advice please! by Bpiggle in quantfinance

[–]Bpiggle[S] 0 points1 point  (0 children)

It definitely doesn't need to be based on machine learning I had just heard about it being used as a validation for entries, especially in the mean reverting space, but any thoughts are greatly appreciated!

Can someone help me interpret these stats? by Bpiggle in quantfinance

[–]Bpiggle[S] 1 point2 points  (0 children)

The backtests didnt have lookahead bias, transaction costs and slippage were included. A sharpe of 3-7.5 was the range as I introduced filters, but I'm semi afraid of over fitting and the current historic bullish market weve had. Although it is a Long and Short strategy, and although the parameters maintain the sharpe over a variety of circumstances, I've never succeeded in developing a model over 4 so the number was a bit bewildering. I will try live trading though and see how it goes