Machine learning in trading: theory, models, practice and algo-trading - page 2652

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mytarmailS #:

About the power of diversification

Let's say we have a TC who doesn't make very good money, not very good at all.

Here's its yield curve

In fact, it is a random noise with a very weak trend added, the trend is so small that it is not visible to the eye in the noise.

Here's the trend.

Yes, we will not let such a strategy to trade ))

But what if we have 100 such uncorrelated strategies that are traded simultaneously on one account?

Well that's not very good, what if we have 1000 strategies ?

What about 100,000 strategies?

That's pretty cool.

Is it possible to generate that many strategies with MO? ....

Portfolio theory) Which does not work well in practice because of strong correlation of almost all instruments.

Is it possible to build uncorrelated TS from correlated instruments? I highly doubt it.

 
mytarmailS #:

I'm a bottom as a programmer, so I'm swimming in concepts.

What's the name of this combination? How do I google it properly?

It is called Algebraic data type. In general, it is also defined by the corresponding grammar.

 
Aleksey Nikolayev #:

Portfolio theory) Which does not work well in practice because of the strong correlation of almost all instruments.

Is it possible to build uncorrelated TS from correlated instruments? I highly doubt it.

landed ))

Aleksey Nikolayev #:

It is called so - Algebraic data type. In the general form it is also specified by the corresponding grammar.

Yes, there is no such thing(

 
Aleksey Nikolayev #:

Portfolio theory) Which does not work well in practice because of the strong correlation of almost all instruments.

Is it possible to build uncorrelated TS from correlated instruments? I highly doubt it.

But still, we are talking about strategies, not markets...

I'll give it a shot.

 

Here's an honourable mention, classy little thing.

Glad to be of service.

I should write an article about it.


 
Maxim Dmitrievsky #:

There's an honourable mention here, a classy little thing.

happy to serve

I should write an article about it.


My... Article))))

 
Valeriy Yastremskiy #:

My... Article))))

Well yes, the articles have ready-made frameworks to get such tables )
 
Maxim Dmitrievsky #:

There's an honourable mention here, a classy little thing.

happy to serve

I should write an article about it.


Congratulations!

You are responsible for the whole branch (in the sense of having a certifiable practical output)! :)

 
Aleksey Nikolayev #:

Congratulations!

You are responsible for the whole thread (in the sense of having a certifiable practical output)! :)

Thank you ) this is only part of the backstage.
You can also push open source code to foreigners who have a lot of extra money.
 
Maxim Dmitrievsky #:
Thank you. That's just part of the backstage.
You can also push open source code to foreigners who have a lot of extra money.

That's unnecessary details. Everyone has their own know-how.)

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