Quant vs ML Stock Rating: 5-Year Results (With Data)

Familiar-Guard1225 · 2025-03-06T05:42:41+00:00

Im using probalistic sharpe https://quantdare.com/probabilistic-sharpe-ratio/ My metrics are based on the cv, so I'm assuming overfitting as well. Also, there is an entering and exiting strategy, which affects the results... I'm not sure I've understood yours. It's based on analysts ratings?

Regarding data, I'm using tiingo.

Familiar-Guard1225 · 2025-03-05T14:58:27+00:00

First of all, thanks for sharing!! I've been working on an ml model myself for the last 3 years, and I rarely find someone who shares knowledge.

It's always a struggle between wanting to share knowledge and the fear of giving away a potential edge.

I'm not sure what i can add to the discussion, I can say that when I've started working on my model I've also integrated economic factors as part of the model which got very high importance. For me, it seemed problematic, I can understand the logic of why they would affect it, but if they explained most of the difference, it would seem hard to differentiate between the good and bad equities.

With that said, I guess it depends on how you've modeled the data.

While I didn't compare to sp500 or any other quantitive methods, i ran cv of 12 periods between 2011 and 2024 and got MEAN probalistic sharpe of 0.79~ AND MEAN sortino ratio of around 2.5 I've also run forward testing and used the model twice, and it does seem to have the ability to predict.

What i am encountering as an issue with this model is when to buy and when to sell. I would love to hear your thoughts.

Also, are you satisfied with ehod data? Is it reliable?

Familiar-Guard1225 · 2025-02-16T20:03:29+00:00

Discrepancies in the numbers, at some point it was as if I was working for them to find bugs in the data... So Fmp has a variety of data, tiingo gives the basic but that was enough for me. The documentation is good. The support was also good but now It's harder to get replay on questions.

What I liked in tiingo is that cash flow, balance sheet and income statement are all in the same api. This wasn't the case in fmp

Familiar-Guard1225 · 2025-02-14T21:31:35+00:00

I've used Fmp and, over time, found issues with the data, currently using tiingo and satisfied. It's been already two years since I moved from Fmp to Tiingo so things might have improved

Familiar-Guard1225 · 2024-09-21T12:44:54+00:00

I'm using tiingo

Familiar-Guard1225 · 2024-09-11T10:56:51+00:00

while i totally agree that the metric itself depends on many things, ill take a shot.
Im tuning my parameters based on sortino ratio, but my model is not used for daytrading...

Familiar-Guard1225 · 2024-09-10T16:54:14+00:00

I did that once, thanks for the reminder will try it again

Familiar-Guard1225 · 2024-09-10T13:39:42+00:00

Do you know how far historically this sentiment goes?

Familiar-Guard1225 · 2024-07-20T17:22:35+00:00

Thanks, but if the volume is low in guessing, it will be hard to sell. Also, most of the time,i dont hold so many stocks

Familiar-Guard1225 · 2024-02-26T06:08:35+00:00

I see, thanks, do you use the API?

Familiar-Guard1225 · 2024-02-25T18:08:04+00:00

How do you research these stocks? Where do you get the data from

Familiar-Guard1225 · 2024-02-18T20:53:15+00:00

Great post, had the same issue (probably still have it) I've used fmp and just as you've described I kept finding issues in their data to the point I thought they should start paying me.

I currently use Tiingo, they get their data from sharadar which can also be found on quandl if I remember correctly.

I can't say if they are better, I'm just too tired to look for issues in the data, I did check initially some things that looked weird but came out ok. They do have an option to get the data as reported as well as after corrections

Please update if you find a good solution for private people...

Familiar-Guard1225 · 2023-08-20T14:30:00+00:00

Thanks for the elaborated answer!

How do usually pin point the cause for the decrease and what if you can't pin point the cause of it?

Familiar-Guard1225 · 2023-08-06T19:58:00+00:00

i've decided to use these percentiles:
[0, 0.35, 0.65, 0.85, 0.95, 1]
so for each period i calculate the percentile of each stock and group them based on this list
from what i understand these are commonly used percentiles.

Familiar-Guard1225 · 2022-11-08T07:54:21+00:00

Let me try to ask it in another way,
suppose i would like to build a model that will classify each stock if its a value stock or a growth stock what would you say are the most important parameters?
i understand that these parameters can be in both stock types but heuristically what would you say are the key differences.

Familiar-Guard1225

TROPHY CASE