DislikedHi algoTraderJo, Thanks for your posts ,It's very helpful. 1. You told that you combine other fin markets to ML input. How do you choose that markets ,Any known tests? 2. Do you use any other inputs except last price returns ? 3. Do you have recommended book to read about ensembles that can be useful for fin markets. 4. In order to reduce long drawdowns , What do you recommend to improve the ML algo, use lower TF, Use ensembles ? Thanks LevIgnored
- We will get into this much later into the thread. It is not very useful to go into this with so much about the basics still not properly addressed.
- Yes of course, but still too early to say anything about this. We haven't even seen half of what can be done with simple price returns as inputs.
- No. You won't find any books with the info that you require for that, not even academic publications address this properly. Daniel wrote a blog post recently about this (I think it came from a discussion we had about the subject). You do need a solid formation in statistics, to carry out experiments and understand what is going on in ensembles that work and ensembles that don't work. The info already on this thread should give some hints about this but we'll keep working on it.
- To reduce drawdown lengths you need both ensembles and portfolios. Going to lower timeframes won't guarantee anything, if anything you will mostly have to deal with more noise and predictions will become harder to make, the lower you go the smarter you need to get.