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I'm actually surprised you didn't overfit the data until the backtests showed you had a profitable algorithm. I bet most people would've done that.. I'm curious

I'm actually surprised you didn't overfit the data until the backtests showed you had a profitable algorithm. I bet most people would've done that.. I'm curious, what kind of algo were you training?

downandout 12y ago
With Weka, I was able to test a wide variety of algos. When every Weka algo failed, I tried Google's prediction API with a wide variety of combinations of data and that failed as well. I thought for sure that one of them would work. Unfortunately, not a single one got me profitable over the long term. I could actually win slightly more than 50% of the time on 50/50 and "Double Up" contests, but that doesn't beat the rake.