Quant Trading Accelerator - Part 6: Classification

MemLabs · Advanced ·📄 Research Papers Explained ·7mo ago

About this lesson

In this video, we explore the classification model to create a statistical edge. More specifically, we research several logistic regression models and evaluate their profitability. The notebook used can be found here: https://colab.research.google.com/drive/1uxYmwoX-IBLg2TWvfxwZBgWExV7TFF0C?usp=sharing The paper on Excess Predictability: A Trading Approach to Testing for Predictability by Alex Gerko and Stanislav Anatolyev https://pages.nes.ru/sanatoly/Papers/Profit.pdf The paper on decomposing returns: Modeling Financial Return Dynamics via Decomposition by Stanislav Anatolyev https://pages.nes.ru/sanatoly/Papers/Decomp.pdf 📚 About this course Quant Trading Accelerator teaches quant trading from zero and fast. Instead of forcing you to learn all computer science, machine learning and advanced math up front, I introduce concepts just-in-time (JIT) so you can immediately apply them. This course is hands-on and project-based: you’ll build a full quant trading system step-by-step. 👍 Like & subscribe if this helped 💚 Want to Support Me? Buy me a coffee: buymeacoffee.com/memlabs Patreon: https://www.patreon.com/cw/MemLabs 💬 Join our Discord community: https://discord.gg/BBp9EqUNNa

Original Description

In this video, we explore the classification model to create a statistical edge. More specifically, we research several logistic regression models and evaluate their profitability. The notebook used can be found here: https://colab.research.google.com/drive/1uxYmwoX-IBLg2TWvfxwZBgWExV7TFF0C?usp=sharing The paper on Excess Predictability: A Trading Approach to Testing for Predictability by Alex Gerko and Stanislav Anatolyev https://pages.nes.ru/sanatoly/Papers/Profit.pdf The paper on decomposing returns: Modeling Financial Return Dynamics via Decomposition by Stanislav Anatolyev https://pages.nes.ru/sanatoly/Papers/Decomp.pdf 📚 About this course Quant Trading Accelerator teaches quant trading from zero and fast. Instead of forcing you to learn all computer science, machine learning and advanced math up front, I introduce concepts just-in-time (JIT) so you can immediately apply them. This course is hands-on and project-based: you’ll build a full quant trading system step-by-step. 👍 Like & subscribe if this helped 💚 Want to Support Me? Buy me a coffee: buymeacoffee.com/memlabs Patreon: https://www.patreon.com/cw/MemLabs 💬 Join our Discord community: https://discord.gg/BBp9EqUNNa
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