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- levkly replied Mar 16, 2017
Hi Algotraderjo, 1. From my tests when I use regularization on time series return all the weights become 0 (not relevant consider them noise) and all "EGDE" come from stop loss. 2. From my experiments in last few year the performance of ml mining ...
- levkly replied Dec 22, 2015
Thanks What hypothesis testing to you use (Only DMB test from asirikuy)? How you select which systems to trade from the (sharpe distribution )? All system SR > 0.8 and number of live system > 100* random?
- levkly replied Dec 21, 2015
Hi algoTraderJo How much time you trade live ML portfolios? What the difference between (R^2,Sharp) backtest and live? From my tests real and backtests don't have similar R^2 and sharp retio . And the performance is feed dependent.
- levkly replied Sep 29, 2015
Hi AlgoTraderJo, 1. Do you paper trade the strategies before going live? if yes for how long? 2. How you build the portfolios? Equal weight ?
- levkly replied Aug 19, 2015
Hi algoTraderJo, Is it practical to use ensembles with ML strategies ( increase degree of freedom) instead of using portfolio of simple ml strategies. Testing ensembles is much more expensive. What do you "WIN" from your practice ?
- levkly replied Aug 11, 2015
Hi algoTraderJO, I also build my own infrastracture. What hardware do you use for DMB Cluster? Can you specify how many cpu ,ram and cluster architecture. How much time it take to compute FULL DMB test on one strategy (100 random time series)?
- levkly replied Aug 9, 2015
Hi algoTraderJo, Thanks for your answers. Can you post your data prepare function (SL/TP) to avoid more questions
- levkly replied Aug 5, 2015
Hi AlgotraderJo, Good to see you back, I have 2 general questions, 1. How do you deal with different feeds (different brokers) for same currency? 2. What you suggest to change in ML strategies on currencies like USDCAD ,AUSCAD (more MR currencies )? ...
- levkly replied Jul 8, 2015
Hi ForexSamsam What time frame do you use? What is your SVC output? do you use stop loss or you close at end of forecast period? Thanks Lev
- levkly replied May 13, 2015
Hi algoTraderJo, Thanks for your posts ,It's very helpful. 1. You told that you combine other fin markets to ML input. How do you choose that markets ,Any known tests? 2. Do you use any other inputs except last price returns ? 3. Do you have ...
- levkly replied May 7, 2015
Hi algoTraderJo, Thanks for posting the code. 1. Do you perform cross validation before trading live or you have other methodologies in order to avoid over optimization? 2. How you choose the predictors (inputs ) ? Do you use other parameters except ...
- levkly replied May 5, 2015
Hi AlgoTraderJo Can you post the data preparation function for this strategy.
- levkly replied Jan 19, 2015
How do you use the rNN regression output? possitive, negative or you use the value for TP? Can you upload any template with rNN code? Thanks Lev
- Posts by Member Search: 'levkly'