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Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency

strategies operated on daily data, taking position each trading day. The length of in-sample period was big enough to make sure that the different market trends were included for all-time series. On the other hand, the out-of-sample length allowed to properly validate strategies and assess overfitting level. The most rapid growth of value was observed for AAPL stock, whose price increased on average by around 35% annually. The disproportion between the profitability of AAPL and other assets did not diminish, after adjusting for risk and applying terms of IR measure

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