Search Results

1 - 1 of 1 items :

  • Political Economics x
  • Macroecomics x
  • Business and Economics x
  • Economic Theory, Systems and Structures x
Clear All
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

Open access