When creating an ML model, assuming it is a supervised learning regression model (which is what you’re looking for in this particular case), you...
Your model is WAY too complex. 4 layers with 50 neurons each is over 10K parameters. How large is your dataset? You’d want to have thousands of...
GAT, That's an awesome blog post. I haven't done much with the impact of interest rates yet, but I've started to think about other...
I realize my reply above does not answer the original question (arguably it doesn't even touch on the original question). But, the original...
Interesting question. As mentioned by other posters, it's a tough one. There are some papers out there suggesting that reducing risk (volatility...
I think this depends on what you're trying to accomplish through the "iteration" over the contract months. If all you're trying to do is iterator...
My experience with letting VIX futures expire was not very positive :) My system missed some rolls earlier this year (due to a combination of...
Based on reading the blog post, I think I understand the approach of pooling gross returns but using instrument specific costs. My understanding...
GAT, Apologies if this question has been asked and answered already. I'm going through another iteration on my system -- this time...
Hello GAT and Everyone, I am yet another person who's running a system based on GAT's book and blog. Trading 39 markets (all USD based), at 16%...
Rob, Thanks for posting the FundSeeder reference -- it's a nice site. I have several questions about your account on fundseeder though: 1. It...
GAT, Thanks for your reply.
GAT, Great post and great blog. I have a few questions as I'm digesting all the info: 1. the 25% capital at risk is at 95% confidence (I...
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