Learning Algorithms for Trading

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Contents

1 Supervised machine learning
2 Time series prediction as an ML problem
3 Learner APIs
4 Linear regression
5 Using a learner in a trading strategy
6 KNN
7 Assessing a learning algorithm
8 Overfitting

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

Overfitting

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