Difference between revisions of "Learning Algorithms for Trading"
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(Created page with "==Supervised machine learning== *Regression *Classification *Parametric *Instance-based ==Time series prediction as an ML problem==") |
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| Line 4: | Line 4: | ||
*Parametric | *Parametric | ||
*Instance-based | *Instance-based | ||
| + | *Overview: LinReg, KNN, Decision Trees, ANN | ||
==Time series prediction as an ML problem== | ==Time series prediction as an ML problem== | ||
| + | [note: need to create fake stock data that has embedded patterns] | ||
| + | |||
| + | ==Learner APIs== | ||
| + | |||
| + | ==Linear regression== | ||
| + | |||
| + | ==Using a learner in a trading strategy== | ||
| + | *Long/short | ||
| + | |||
| + | ==KNN== | ||
| + | |||
| + | ==Assessing a learning algorithm== | ||
| + | *Now that we have two, (linreg & KNN), let's compare them | ||
| + | *RMS error | ||
| + | *Scatterplot predict vs actual | ||
| + | *Corrcoef | ||
| + | |||
| + | ==Overfitting== | ||
Revision as of 23:53, 3 March 2015
Contents
Supervised machine learning
- Regression
- Classification
- Parametric
- Instance-based
- Overview: LinReg, KNN, Decision Trees, ANN
Time series prediction as an ML problem
[note: need to create fake stock data that has embedded patterns]
Learner APIs
Linear regression
Using a learner in a trading strategy
- Long/short
KNN
Assessing a learning algorithm
- Now that we have two, (linreg & KNN), let's compare them
- RMS error
- Scatterplot predict vs actual
- Corrcoef
