Hi Bat,

thanks for reading, I agree, its very tough to find an algorithm to predict the market to generate excess returns. Have you tried using technical analysis with machine learning? To me technical analysis is essentially feature engineering so it makes sense to let ML to decide the weight and subset of features to use. I have read a few papers which have taken this approach and produced supposedly decent results. I am generally skeptical because I think a lot of these studies really just capture the momentum effect, which is a replicable risk premium and not alpha. I would be keen to hear any thoughts you have on the subject.

Mike.

--

--

--

Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.

Love podcasts or audiobooks? Learn on the go with our new app.

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Mikhail Mew

Mikhail Mew

Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.

More from Medium

ForthBox Metabox Lottery – Guidelines & All You Should Know .

Connection Regrets and What They Teach Us

5 Ways to Reduce Your Depression and Anxiety in Fort Collins

Delistings, March 2022.