I'm just trying to understand the ensemble, do you feed "probability" prediction from KNN along with other features to NN? Are you using back...
So you are making an ensemble of k nearest neighbors algo's that are later fed to a NN?
Is CkNN your algo? I'm surprised that your features and the model are fairly simple. I would assume that you use some optimization of parameters...
Thanks, finally some quality talk. If i understand you correctly you are forecasting the change between t+1 and t+2. Do you forecast the...
2 question: 1) Can you please comment on the target variable you are using, I assume you are not trying to predict the price and most likely it's...
Ok, what approach would you take to tackle that problem?
By HF I meant hedge fund. You can look at this thread: https://www.kaggle.com/c/the-winton-stock-market-challenge/forums/t/18584/solution-sharing...
Hey, I haven't used these libraries yet (but i will), but since you have experience in this do you run your convolutional network on Theano?...
Yes, i'm using log prices only for signal generation and calculating PnL as per your example using real stock prices, but I would like to know if...
I'm backtesting a statistical arbitrage strategy. To calculate the PnL I simply use Y(t)-Y(t+n) for the profit on the first leg and Beta*X(t) -...
I'm not really looking to produce a derivative of other research paper rewriting what is already known, I'm more interested in exploring the...
This question is probably to those who work in prop trading, specifically to those who employ algos. I'm working on an equity stat arb strategy...
You may try to switch to longer time frames, these type of patterns that you describe are more consistent on longer time frames.
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