Watch the effect of changing the TP: A=10 B=50 C=19 D=100 SL=40% of the ATR20

Machine Learning with algoTraderJo

I also recently found out that the guys at Asirikuy have now started a cloud mining effort to calculate data-mining bias for machine learning strategies (this means that many members contribute to the calculation of mining bias, which is by nature ...

Machine Learning with algoTraderJo

Machine learning enthusiasts! Algotraderjo is back with more machine learning fun for all the family. I cannot post as frequently as I would want due to my trading business (that takes up a lot of my time) but I really try to give you some juicy ...

Machine Learning with algoTraderJo

In my experience this is a mistake. Reducing the parameter space from the original mining process by any sort of excuse leads to an underestimation of the mining bias. At least every time I have done this I have had really disastrous results. But ...

Machine Learning with algoTraderJo

Yes, I measure data mining bias. Yes, I have explained the procedure several times already within the thread.

Machine Learning with algoTraderJo

I think there might still be some confusion. It's probably easier to understand biases when you put them in question form. Here are some hopefully better explanations: curve fitting bias = does my system contain rules that describe some general ...

Machine Learning with algoTraderJo

I am not trying to measure how wrong my model is against the "real market model", as you have said, this cannot be done. I am referring to this as curve fitting bias, not data mining bias. We should be on the same page to discuss anything. This is ...

Machine Learning with algoTraderJo

I can only tell you that I would never trade without measuring data mining bias. The only way to discard it being an issue is to measure it and get an idea of whether your process suffers from bias issues. Before measuring you are just guessing and ...

Machine Learning with algoTraderJo

Harris is just confused. Of course you can measure data-mining bias, this is just basic statistical hypothesis testing, anyone who knows statistics will tell you that. What is true is that low data-mining bias is a necessary but not sufficient ...

Machine Learning with algoTraderJo

Mining bias is never "removed" it is always present as a consequence of the mining process. If anything using more data and having more degrees of freedom introduces even more data-mining bias. This bias problem is always present in any strategy ...

Machine Learning with algoTraderJo

But the linear regression model is not a holy grail. There are complicated cases where the linear regression algo does not produce good results. The USD/CAD is an interesting example. Here are the best results that the linear regression algo could ...

Machine Learning with algoTraderJo

A few things: It does not work on the daily timeframe (the system trains each example using hourly returns), this system requires use of the hourly timeframe and all the specified degrees of freedom. You can test this yourself. You cannot simply ...

Machine Learning with algoTraderJo

You can even get good results for the GBPJPY using this linear regression model. (A=2 GMT+1/+2, B=80, C=3, D=12, SL=50% ATR(20)). Remember that as always the model is retrained before taking each trading decision. image This basic technique is ...

Machine Learning with algoTraderJo

Easier to train, definitely. But better? Do some experiments and share your findings with us! Perhaps I have always been wrong about using 2 targets!

Machine Learning with algoTraderJo

Yes, the timezone can make the systems fall apart. Cyclical volatility in the 1H timeframe is EXTREEEMELY important, I cannot say this enough. It is different to predict a market opening time than the market one hour before or an hour later. This is ...

Machine Learning with algoTraderJo

You tell me

Machine Learning with algoTraderJo

A is the trading time. Of course it's a very sensitive parameter because the Forex market has cyclical hourly volatility. It's very different to predict the European open than to predict trading an hour later. This is exactly why GMT corrections and ...

Machine Learning with algoTraderJo

All profitable algo traders I know, institutional and retail, also do. It's not uncommon at all around profitable algo traders!

Machine Learning with algoTraderJo

I have a cluster for this purpose where I am working at, so I just use F4 and OpenMP/MPI to perform this analysis (along with some python scripts I wrote to manage the whole thing and process the outputs). But you're right, anyone who has the money ...

Machine Learning with algoTraderJo