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I think I understand the point you are trying to get across and your reasoning. And I would definitely say trading from some sort of ML black box system which utilises spurious relationships would be dangerous. However, I don't think that's how ML is generally used. For example, In the medical...

Hi indicator77, thank you for the feedback, it was clear, concise and informative. The main objective of this paper was to provide a balanced framework to improve systematic strategies using Machine Learning. The strategy that was chosen, as well as the features, were only chosen because they...

At a few prop shops. But in the past year I switched away from discretionary trading to a more quantitative and systematic methodology. It really helps me with my weaknesses.

Artificial neural networks (NN) are a type of ML algorithm that aims to mimic the way the brains works, in terms of its neurones, synapses, dendrites etc. It uses a method known as forward propagation and back propagation to optimise it's weights. It is definitely notorious for overfiting the...

I definitely wouldn't say your dumb because you don't understand it yet. I personally took, and highly recommend Andrew NG's coursera online course on machine learning. You can check out any of the lectures including the one on Logistic regression for free. And If you have matlab or octave...

Well I would say by substantially dropping the leverage of the ML improved system, you could get returns of about 25% with a drawdown of about 7% which is quite similar to the metrics you posted. However, this paper isnt really about a single stand alone strategy, and I wanted to pick...

I separated the trading data into 3 groups (Training, CV, Test). But only used the test set data group for an unbiased comparison of the results of the original and ML improved algorithm. Based on trading 1 contract with an account value of $3960 (Initial margin value). over 1yr and 2 months...

No. I know I wrote the document like a thesis, Its just that I wanted it to be be decently thorough and well referenced.

I found in my research ML really did help, at least in terms of a smaller a drawdown, greater trade expectancy, higher win percentage etc. However, I applied ML to already defined systematic strategy in a way which doesn't include optimizing stops or anything like that. I also made sure, as...

You're welcome, and I am really glad to hear you found it interesting!

You're welcome Baron. Thanks for the feedback.

I have attached a document I wrote on how to improve systematic trading using machine learning. I personally found some interesting results. Hopefully people find this useful. I am also curious as to what your thoughts are, and whether you have applied machine learning to your own trading...