community download

David Aronson of Hood River Research on statistically sound machine learning for algorithmic trading

Developing Predictive-Model-Based Trading Systems Using TSSB

David Aronson, President of Hood River Research, kindly provided this excerpt from his book, ‘Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments: Developing Predictive-Model-Based Trading Systems Using TSSB.’

This book explores key topics like:

  • How to estimate future performance with rigorous algorithms
  • How to evaluate the influence of good luck in backtests
  • How to detect overfitting before deploying your system
  • How to estimate performance bias due to model fitting and selection of seemingly superior systems
  • How to use state-of-the-art ensembles of models to form consensus trade decisions
  • How to build optimal portfolios of trading systems and rigorously test their expected performance
  • How to search thousands of markets to find subsets that are especially predictable
  • How to create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility

In this excerpt, David introduces TSSB (Trading System Synthesis & Boosting), and lays out two approaches to automated trading. Download the excerpt here.

 

 

Some quick details

Email Address:*
First name:*
Last name:*
Job Title:*
Company:*
Industry:
Country:*

Remember my details Information

Information
Remember my details
We place a 'cookie' on your computer so next time you visit us you don't need to fill in all these details


Privacy statement »
Manage your email preferences »
 

Unfortunately the document is not available at this current time, however if you leave your details we'll get it to you as soon as we can.

Please fill in all the information requested. It is very important you enter this information correctly so we can contact you with the document.