Machine learning in trading: theory, models, practice and algo-trading - page 3487

 
Maxim Dmitrievsky #:
This is the harsh reality. The bare facts. The hopelessness of being. The plunge into inevitability.
Many MO users are prone to self-deception).
 
mytarmailS #:
Looks like my suspicions are correct
Yes, I have a link in my feed to a video course for beginners on coursera for free that explains it all. It's exactly entry level.
 
Maxim Dmitrievsky #:
Yes, I have a link in my feed to a video course for beginners on coursera for free that explains it all. It's exactly entry level.

That's what I'm saying.

Looking at a MAE and thinking it's the equivalent of a profit is a beginner's trait.

 
Maxim Dmitrievsky #:
Well you have stats on a set of models. The average stat should be at least better than the average stat at random, I wrote it. That's not bad enough for a cursory evaluation to see how randomly you get good forwards.

So I've shown the results of, say, two random samples, and on one of them the training is significantly better than on the other goes!

That's why it's not clear which random to base the results off of - that's the message.

 
Yuriy Asaulenko #:
That's impossible. It is quite possible to win on SB, and this, such luck, can last for a very long time. Take a test, see for yourself.

You have to make it possible...

 
Aleksey Vyazmikin #:

So I showed the results of, let's say, two random samples, and on one of them the learning is significantly better than on the other goes!

That's why it's not clear which random sample to use - that's the point.

On average.
 
Maxim Dmitrievsky #:
On average.

Then it is necessary to generate N random samples with different statistical distributions and settings at the beginning, to train a hundred models on each...

 
Aleksey Vyazmikin #:

Then it is necessary to generate N random samples with different statistical distributions and settings at the beginning, train a hundred models on each one...

Something like that
 
Aleksey Vyazmikin #:

Here we need to make it possible....

Only statistics, a lot of test samples. But it's not a 100% guarantee, but still.
 
Maxim Dmitrievsky #:
Something like that

Too costly, there must be another way.

Reason: