Only halfway through but this is very approachable. I attended QuantCon a couple of years ago, but I didn't find it valuable since my girlfriend at the time got mad that I had a visit from an ex girlfriend from the area. This talk, titled The 7 Reasons Most Machine Learning Funds Fail, looks at the particularly high rate of failure in financial machine learning. The few managers who succeed amass a large number of assets, deliver consistently exceptional performance to their investors. However, that is a rare outcome. This presentation will go over the 7 critical mistakes underlying most financial machine learning failures based off of Marcos López de Prado’s experiences and observations. To learn more about Quantopian, visit http://bit.ly/mlqc2018. The slides for this presentation can be found at http://bit.ly/2DyUNdc. Bio of the Speaker: Dr. Marcos López de Prado is the chief executive officer at True Positive Technologies LP. He founded Guggenheim Partners’ Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, López de Prado acquired QIS and successfully spun out that business in 2018. López de Prado is a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). A top 10-most-read author in finance based on SSRN's rankings, he has published dozens of scientific articles on machine learning and supercomputing and holds multiple international patent applications on algorithmic trading. Marcos earned a Ph.D. in Financial Economics (2003), a Ph.D. in Mathematical Finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University. Disclaimer Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice. More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian. In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
We just went to breakfast. But yeah in general the content is hit or miss. It's either a bunch of academics or people looking for jobs.
Yeah, either (1) own up to your mess or (2) act all alpha and say it didn't bother you. Humblebrag whining is the worst....
The reason I mentioned it was because that was literally the only takeaway from the whole conference. It was that useless. I can see my subtlety is often lost.
Back to the topic at hand, very good summary of why people fail. Near the end: they run so many backtests that their sharpe ratio is bound to go up. Eye opening. Has a good alternative sharpe ratio metric.