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Machine learning predictions for QM eMini Crude Oil
- thinkmilitant 9y agoThe ever-relevant xkcd - https://xkcd.com/1570/ https://xkcd.com/1570/
- JackFr 9y agoThat's how Simons did it at Renaissance. He sold his model for $365 a year.
- madchops1 9y agoI did not know that. Thanks for the info.
- tiredfatdude 9y agoIf you glance over the whitepaper, it's obvious this is a completely ridiculous model. Trying to predict intraday price movements with previous day volume numbers and open interest as features? Please. Also, selling the "model" predictions for $365 a year is the real scam -- if he had any confidence in the model, he'd get a private backer and be trading size out of his own account rather than making $50 bets.
- madchops1 9y agoJust look for feedback. I use many historical price values other than volume. Plus some specific things I have added for pattern recognition in time-series data. That's the special part.
- hellofunk 9y ago@madchops1 This comment reveals just how seriously we should take your work. This article should be flagged.
- madchops1 9y agotouche. Sorry for my negative reaction.
- hellofunk 9y agoNote to other readers: the comment was changed.
- madchops1 9y agoIt was changed. I said "your just jelly". Sorry. I changed it.
- madchops1 9y agoI reacted that way because dude said he read the white-paper and somehow took this as a historical analysis of volume. Which it is not. I use historical open, high, change, last, settle, prev. day open interest, plus several other fields I use to help recognize patterns and properly weight time-series data.
- madchops1 9y agoIt's an indicator to assist in trading decisions not a crystal ball. And your analysis of my analysis is incorrect. I do have private backers using this. But I don't see why I can't share as well and have multiple streams of revenue. I post all the results so you can see for yourself. I'm not rich and have only been day trading for a year or two. This is for the little guy not the big guy. So I trade and show examples as someone who may not have lots of liquidity available to show how you too could learn to do this.
- soVeryTired 9y agoWhat is this I don't even
- madchops1 9y agoWorking on a tutorial...
- financedude 9y agoThe OP says "I don't see why I can't trade it AND share it as well to get multiple streams of revenue?" Maybe because the capacity of day hold futures (especially e-micro crude) is so small that there is almost no way that the revenues earned from your 365 a year subscribers is going to be greater than the decreased capacity of your strategy from having all those people trading it. As someone who works at a quant fund, this kind of shit pisses me off to no end. It makes a legit industry look like Herbalife
- hellofunk 9y agoEntirely agree. This site is like looking at a caricature and passing it off as fine portrait art.
- soVeryTired 9y agoyup
- madchops1 9y agoI don't really have a strategy to copy. I just provide indicators that may affect how you decide to make a trade or not. Also the point of this project is to get machine models that evaluate below baseline by improving the analysis of time-series data. I spent a lot of time improving the quality until they became better than baseline. Like I said I do not have a crystal ball or strategy for sale. Just insights from pattern recognition of historical time-series data that has helped me trade so I'm putting it out there.
- k3oni 9y agoCouple questions: 1. Why QM? 2. Was this tried on any other future and if yes what was the outcome?
- madchops1 9y agoI have been trading QM for a year or two now. It has low margin and good volatility for day trading. The tick value is 12.50. So movement of one tick will cover your trade costs. So it makes it possible for a beginner to start with ~$3-5000 and still be able to realistically make money.
- cardmagic 9y agoTrading costs are more than just commission. Slippage for QM is higher than CL because of thinner volume and can easily be $10-25+ per order ($20-50 round trip). You might say that you don’t worry about slippage because you use limit orders, but limit orders have their own problems, like not getting filled which can easily screw up your returns vs predicted returns. Be careful, there are far more ways to lose money trading than you seem to realize still.
- d--b 9y agoOP: how can you expect to be taken seriously if you don't publish backtests, and overfitting analysis?! It is _extremely_ likely that your model's guesses are just as bad as coin flips.
- madchops1 9y agoI will do this thank you for your feedback. I didn't release my results until my models were better than baseline in evaluation. Hence better than flipping a coin. I published the results of my evaluations so you can see that. Its not a crystal ball. Its an indicator to help in trading decisions.
- madchops1 9y agoI published the evaluation results in the whitepaper. I am doing my training/evaluation with a data split of 70/30. Doesn't that qualify as a proper backtest?
- lowdest 9y agoThis is all a bit naive, OP is not up to speed with the state of the art. This looks like any number of student projects that are created every semester. The best thing about this is that it looks like OP prototyped and released v1 for sale in under a month. That's respectable.
- madchops1 9y agoIt may be a bit naive. going to keep working on this and I have found my indicators to greatly increase my own trading results and making the models evaluation numbers improve is very exciting and interesting to me and maybe others. Thanks for the one compliment :)
- madchops1 9y agoAlso my models beat baseline in evaluations so I'm stoked on that. It took some doing to produce results with time-series data.
- madchops1 9y agoI know a lot of you hate this but the model has correctly predicted the correct direction of movement at end of day 9 out of 11 days since my model was under baseline and I began publishing my results. I know I've said this a few times but its not a crystal ball, its a value that can assist in trading decisions.
- gwbas1c 9y ago11 days is a very short time. Assume that you're lucky.
- soVeryTired 9y agoCrude oil has been going up all month. Is your system biased long (i.e. towards buying)? Edit: looking through your trade history, it does appear to have a long bias. It's predicted a rise in price on all but two days.
- madchops1 9y agoI am doing my training/evaluation with a data split of 70/30. Doesn't that qualify as a proper backtest?
- gwbas1c 9y agoIt's been about a decade since I worked with machine learning, and even then I hardly scratched the surface. (I mostly wrote the data access and glue code for someone else's machine learning system.) Given what I see, it's really hard (for me) to understand what's going on and what's novel. I'm not very active in the financial or machine learning area. All I can understand is that someone wrote an investment program that makes money. Even with my limited knowledge of machine learning, I know that it's very easy to confuse luck and success. How do you know that you're not just lucky? How do you know that your computer program is really investing, and not just "good timing"?
- madchops1 9y agoI am not trading purely on these numbers. They are indicators they help me make my trading decisions and I think they may help others too. My models evaluations are performing better than baseline when trained with 70% of the data and evaluated against the remaining 30% so I take that as value. As someone else put it a potentially "favorable guess". At this point I'm using the predictions regularly. And I guess I'll know more the longer I keep track of daily results.
- daveguy 9y agoI may not be reading this right, but does the white paper contain 5 days of result data?
- madchops1 9y agoya it contains the evaluation results of the model and 5 days of result data.
- madchops1 9y agoI did another back test with a randomly selected 70%/30% training to evaluation ratio for evaluating time-series models. Adding results to whitepaper. The results are still under baseline.
- madchops1 9y agoUpdated White Paper. Generated more evaluations and back tests. https://s3.amazonaws.com/karlcdn/Dutchess.ai+White+Paper.pdf https://s3.amazonaws.com/karlcdn/Dutchess.ai+White+Paper.pdf
- madchops1 9y agoAlso doing random not sequential training and evaluation. The proper way to eval time-series models.