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Simple ML algo

Appears to be some promise in this approach.

4 responses

Trading costs and slippage kill it :(

Could you please give a brief description of the algo?

We assume that there is some sort of an equilibrium in the returns of all stocks. i.e. you can predict the return of a stock based on the returns of rest of the stocks. When actual return is less or more than predicted return we long or short the stock. We do this every day.

Original algo backtested from Jan 2008.
What it promising?