'Watching The Market' vs. Machine Learning.

So, to restate what you are saying in your quote, he looks at the variability of results on the out of sample data, concerning different parameterizations on a single model?
 
Quote from Craig66:

So, to restate what you are saying in your quote, he looks at the variability of results on the out of sample data, concerning different parameterizations on a single model?
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welcome to all of quantitative finance
 
Quote from Craig66:

So, to restate what you are saying in your quote, he looks at the variability of results on the out of sample data, concerning different parameterizations on a single model?
More...

Not that i was asked..but...

He's explicit about use of many models, but doesn't elaborate on multi-parametrization of single models. I suspect he uses both; I do. He is clearly a fan of ensemble methods. And for me, intuition and framing the problem (sometimes referred to as feature engineering) is an incredibly important part of the problem.

Good to see you around.:)
 
Quote from Craig66:

Yep, still grinding away.
I sent you an email ages ago and you never replied! :(
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Sorry, I get tons of thread subscriptions and spam to wade through. Try my blog email; it is fairly clean. Cheers.
 
Quote from vicirek:

Brain operates on different principle than computers.

For all practical purposes computer processes information sequentially and each complex task has to be divided into simple rudimentary operations. Once the complexity of the problem increases it is difficult to create viable working algorithm using computers.

Machine learning has many types of algorithms but it is still limited what it can do. How we recognize patterns is largely unknown and neural networks or fuzzy logic is probably poor and even incorrect approximation of what is involved in learning.

Market provides us with much simpler information. It is not 3D, it is black and white, does not have shades, can be simplified and represented as chain of numbers or simple 2D chart.

For this type of problem I would argue that if human generated algorithm based on market observation is executed as computer program and does not result in consistent performance then this observation must have be based on chain of random events mistakenly recognized as market pattern.
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I hope your post to the OP helps him.

The "chain of numbers" and "chain of random events" you mention is nearly correct.

I read all the posts in this thread. taken together they could solve the mystery you all have on your hands.

It is very difficult to "back up in thinking" and get back on the true path. So I guess this misery that people create for themselves will never change.

To get a solution it could look like climbing a pine tree to its top. In this thread each person has climbed up some and then crawled out on a limb. Ends of limbs is as far as that person can go in his trading life.

As stated here "feature engineering" is what allows a person to climb higher and higher.

I probably should quote each person's contribution towards getting to the top of the tree. At least the OP see's that there is a path to the top.
 
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