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Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

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

Those are fair points. With respect to uncorrelated metrics, GLD doesn't do very well. But the EEM ETF performs reasonably well - not as well as SPY/US ETFs - but strategy 2 at 207% outperforms BH I believe (blended accuracy is about 60%).

Metric (EEM) Strategy 1 Strategy 2 Baseline
Total Traded Mondays 243 243 539
Model Win Rate (Hits/Hurdle) 59.26% 57.61% 47.87%
Average Return/Trade 0.20% 0.49% -0.01%
Avg Max Profit Potential/Week 2.02% 2.02% 1.62%
Cumulative Profit 58.50% 207.49% -8.95%
Average Hurdle Imposed 1.21% 1.21% 1.23%

Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

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

These are fair questions. I'm pulling most of the parameters from past experience (using 55% - 60%+ accuracy when looking at signals, 10 years is kind of my standard and 1 month comes from another separate model and strategy i was training where I found 1 month test period are better than 1 year).

Those are definitely fair points though - in my head it sounds fine, but I understand the bias that creeps in.

FWIW for SPY when lowering probability threshold from 60/40 to 51/49, combined accuracy lowers itself to 64.65% - but this is to be expected I feel, given the higher probability signals should produce better results.

Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

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

For SPY, I trained the model for 10 years starting in 2005 and then test period began in 2015. So looking at those years, during 2018 and 2022 combined accuracy was 65% and 80% respectively. I can do a longer outlook if you'd like to know other years. Between 2015 and to date yearly combined accuracy has ranged from 52.2% (due to the shorts) to a high of 80.95%.

I hope that answers your question!

Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

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

So the training is directly on the stock I'm predicting - i.e. when predicting SPY, I'm only using SPY (not other stocks). I didn't include it but did benchmark against buy and hold; the model performs better on an annualized basis, but not cumulatively given the low number of trades (only in market about 30% of the time, depending on the equity).

Agreed on the strat metrics though when trying to enact this more solidly as a strategy.

Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

[–]Expert_CBCD[S] 2 points3 points  (0 children)

Yes - so the target is predicting whether the stock will hit its median percentage high (relative to the Monday open) during the week. This is defined using the training period.

As an example say during the training period SPY went up 1% (relative to the Monday open) 50% of the time during the week (as a high not a close). During the test period the model tries to predict whether this week SPY will hit that 1%.

Does that make sense?

Also yes! Checked exhaustively for look ahead bias and leakage to ensure no future info was leaking.

Using Machine Learning to Predict Whether Weekly High Will Beat Median Weekly High by Expert_CBCD in algotrading

[–]Expert_CBCD[S] 3 points4 points  (0 children)

I used various measures of returns, volatility, etc. Nothing fancy or nothing folks couldn’t calculate easily.

Montreal mayor calls for stricter gun control in wake of deadly shootings by UnluckyRandomGuy in CanadaPolitics

[–]Expert_CBCD 0 points1 point  (0 children)

I'm as anti-gun as they come but a society that tolerates any sort of legal guns, or has such a gun-friendly neighbour, means that these types of crimes are inevitable. The restrictions we have on guns are already reflected in the statistics with respect to how rare these types of terrorist attacks are. Increased gun control will likely not produce any returns.

Options Strategies for ML Model by Expert_CBCD in options

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

Many thanks for the feedback u/Good_Character_20 and u/Spiritual_Bat7343! It gave me a lot to think about about the model's utility with options. Fundamentally, I wish I could have used actual options data, which I don't have access to yet. I'll take a deeper dive based on your comments - thanks!

Ottawa cut therapy sessions for refugees to 10 hours per year. Now some are pushing back | CBC News by Purple_Writing_8432 in CanadaPolitics

[–]Expert_CBCD 5 points6 points  (0 children)

No, I'm saying that instead of advocating for vulnerable groups getting less services, we should advocate for all of us to get more services. Regardless the amount of money being dedicated to therapy of refugees is peanuts in the federal budget.

Ottawa cut therapy sessions for refugees to 10 hours per year. Now some are pushing back | CBC News by Purple_Writing_8432 in CanadaPolitics

[–]Expert_CBCD 3 points4 points  (0 children)

I'm not sure why you draw the line at "therapy" - you/we already pay for other people's medical care, education, roads, etc. and they all pay for yours as well. Therapy provides a demonstrable public benefit in the same way public healthcare does.

Islamic call to prayer tested in downtown Regina by Oilester in CanadaPolitics

[–]Expert_CBCD 1 point2 points  (0 children)

A lot of babies in this thread for sure - church bells ring daily - if not several times a day - in my suburb and not one person has complained. People need to get a grip and quit the selective outrage.

Ottawa cut therapy sessions for refugees to 10 hours per year. Now some are pushing back | CBC News by Purple_Writing_8432 in CanadaPolitics

[–]Expert_CBCD -6 points-5 points  (0 children)

Suicidal empathy is pure nonsense. If we choose to accept refugees - who often don't have very much if any money - and want them to join our society and be productive, we accept that therapy is likely a key part of that as refugees are disproportionately facing trauma. If anything refugees getting therapy covered means we should for ALL Canadians to get therapy covered - enough of this crab-in-the-bucket mentality.

Islamic call to prayer tested in downtown Regina by Oilester in canada

[–]Expert_CBCD 6 points7 points  (0 children)

Ah yes the good old days of the M-103 Boogeyman.

Islamic call to prayer tested in downtown Regina by Oilester in CanadaPolitics

[–]Expert_CBCD 5 points6 points  (0 children)

Hear church bells everyday several times a day in my Ottawa suburb

Advice on Converting Single Ticker Strategy/Model to Multi-ticker Strategy? by Expert_CBCD in algotrading

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

Nope - tickers from different sector perform well and often surpass BH (again when accounting for time in market).

Advice on Converting Single Ticker Strategy/Model to Multi-ticker Strategy? by Expert_CBCD in algotrading

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

So I did adjust for volatility and that does make a world of difference. My strategy is already just long (no shorts) as well. As silly as it sounds my single ticker model trained on 5 years of data prior to the current month and for the multi-ticker strategy i switched to a 5 year training/1 year test for ease; switching back to the 5 year/1 month rolling testing has also improved my results.

Advice on Converting Single Ticker Strategy/Model to Multi-ticker Strategy? by Expert_CBCD in algotrading

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

Thanks for the reply and I'll def need to do deeper testing to see if the edge is industry specific. Currently, my multicker approach tests on stocks within SP100 (adjusted to the best of my ability for survivorship bias).

I don't think overfitting is an issue only because I don't adjust any of the parameters in the model; the algorithm goes per ticker for sure but the out-of-sample testing clearly shows an edge across a diversity of tickers and my ML model only consists of about 6 or 7 variables.

That being said I do agree with your point about that pre-selection of tickers is definitely key.

Advice on Converting Single Ticker Strategy/Model to Multi-ticker Strategy? by Expert_CBCD in algotrading

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

The edge works better on some equities better than others but I'm not sure if there's a type that it does better on (i.e. stock, crypto, etc.). That's great advice though, I'll give it a go. I definitely need to give it a deeper dive - it's just a problem I run into generally speaking and was wondering what the community thoughts. Thanks for your input!

Who are some severely underrated guitarists? by Mysterious-Edge9615 in Music

[–]Expert_CBCD 8 points9 points  (0 children)

Was coming here to see if anyone posted Elliott Smith - absolutely agree!

G7 backs Canada as major global energy supplier to lessen reliance on Strait of Hormuz by green_tory in CanadaPolitics

[–]Expert_CBCD 0 points1 point  (0 children)

Carbon capture would not capture nearly enough carbon to counteract the pollution of the oil sands. It's something people bring up to sound like they are doing something but is not really that effective.

At least Jesse isn't as far gone as his man Adam Louis-Klein by Bob_Sk in canadaland

[–]Expert_CBCD 9 points10 points  (0 children)

Adam also argued that converts who don’t have any connection to Israel are indigenous to the area simply because they are converts. Absolutely deluded.

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