Recent content by Arti

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 propagation for NN optimization?

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 in the network. What error metric do you use? The reason why I'm curious is that I've been testing some nonlinear models and surprisingly they usually...

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 probability of being long (1) and then put a threshold on it to split in to other classes 0 and -1? something like 0.55 (1) > 0 > 0.45 (-1). It's quite...

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 a binary variable, are you predicting if next day ETF price will be up(1)/down(0) or maybe outperform(1)/(0)under perform the index? 2) Are you using...

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 I'm sure there can be solutions for volatility forecasting that are better than GARCH, however for that particular competition many people comment...

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? would you recommend Theano over Keras or TensorFlow? also since you come from HF industry can you comment on the features that you pass to the algos? are...

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 it is correct to use Beta obtained from log prices regression as a multpier to the number of shares on for X stock leg? Judging by back backtest's...

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) - Beta*X(t+n) for the profit on the second leg, then i add both profits together. Y is the number of share on the first leg and Beta*X is the number of...

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 strategy and applying different methods to find the one that returns a better performance and perhaps suggesting some of my own. Thus I wanted to know if...

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 myself as part of my master thesis and I came across lot's of papers about various strategies that got me thinking do any of them matter at all? Just...

You may try to switch to longer time frames, these type of patterns that you describe are more consistent on longer time frames.