Chat With Traders EP 147: Detective work leading to viable trading strategies, and the rise of AI. Dr. Thomas Starke and Aaron Fifield talk about things related to quant trading, strategy development and robustness, disruptive technologies, artificial intelligence, and quantum computing.
Note: the following post is purely to illustrate how to avoid pitfalls in trading. My motivation for this post was to give an example of mistakes that I have made myself all too often and I can fully appreciate how one would come to those conclusions. I’m sure that the authors are excellent in machine…
Read more
by Mary Lin, Tom Starke and Michelle Lin This blog post is a revised edition of Tom’s original blog post with a newer data set. More information, source code & inspiration can be found here. Code for this blog post is in our Github repository. Options are complex instruments with many moving parts. Specifically, options are contracts…
Read more
In the previous post we plotted a response surface of our strategy parameters and their PnL in order to assess if our choice of parameters is rational and not just a local maxima, which rapidly drops off as we move away from it. In this section we investigate how we can use machine learning to…
Read more
In the last section we looked at bootstrapping by random sampling one of our best strategy PnL curves in order to determine how stable and reliable the returns are. In this section we will look at the response surface of the returns, that is the PnL with respect to the underlying parameters. In our case…
Read more
In the last section we investigated how the strategies we’ve selected from our train-test cluster were distributed in the parameter plot. We saw that they form a dense cluster in that plot which indicates that the PnL’s we see are not a result of overfitting since we would expect them to be more randomly distributed.…
Read more
This is an old video that I produced sitting on my bed in the morning in order to learn how to make basic Youtube videos. Nevertheless, I became quite popular. I apologise for looking a bit rough. Hope you enjoy it regardless. Here is the code: If that seems a bit complex, check out the…
Read more
In the previous post we used unsupervised machine learning to identify the best cluster of train-test results. The question is: is that cluster meaningful? If the parameters of the moving averages for the cluster are scattered evenly over the parameter space, this cluster may not be very meaningful. On the other hand, if the parameters…
Read more
In the previous section we ran a parameter sweep over the train and the test set of our strategy and looked at the average PnL. In this post we will start with system parameter permutation (SPP) in order to improve the performance of our system without falling prey to data mining bias. Remember that we…
Read more
Welcome to the AAA Quants blog. We are a team of passionate bloggers in the space of machine learning and algorithmic trading. Much of what is happening in this space is still new and experimental and we are dedicated to join the movement and share our ideas. We feel that currently there are three technologies…
Read more
Trading Technologies
Quantopian
Fishburners
Tyro Fintech Hub
