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This is great! Thanks for writing this! I have wanted to do something like this for a while, purely for learning. The thing which puts me off is that there is

This is great! Thanks for writing this! I have wanted to do something like this for a while, purely for learning. The thing which puts me off is that there is a huge amount of knowledge needed in understanding the features vs the ML. Could you recommend a base system / reference one could use to get started which explains or bakes in some of the feature / signals engineering work? Also would this approach work with crypto?

muggermuch 4y ago
> Also would this approach work with crypto? Some of it works on crypto. TBH I've stayed away from the asset class, but only because I find it difficult to build mental models and think about features (in my mind, it's a mix of commodity factors and currency factors, but I'd have to test it out). I seem to remember coming across papers that have tested momentum factors at larger time-frames (e.g. weeklies). > Could you recommend a base system / reference one could use to get started which explains or bakes in some of the feature / signals engineering work? The references I put in at the end of the post will really help with this! I might actually write out a separate blog post about starting out in this space from an ML perspective. Thanks for the idea!