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by kensoh
3260 days ago
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I don't have ML or deep learning background (no Masters or PhD), adding comment from experience with backtesting trading systems. We will collect market data and design algorithms that seem to produce the kind of outcomes we want. Then test on some other data sets which the algorithms have never been applied on. Many iterations later, you can get a decent profitable algorithm. And if the 'holy grail' algo is run in market long enough, eventually there will be severe drawdown and going bust. The quality of the algo and I assume the deep learning model lies in the quality (breadth and depth) of the data, and how honest with himself the person choose to model it. There will be time and again new 'black swan' or edge events happening (remember LTCM), because using machine learning is like using the past to predict the future. I guess as long as the users' expectations are correct it can be useful in some very specific areas. Referencing the AlphaGo game last year, I was a Go player for more than a decade. But yet AlphaGo's weird move inspires new insights that break the conventional structure / thinking-framework of a Go player. From that angle, I do think that even though DL is somewhat a blackbox, humans can pick up new insights because it explores areas which are normally ridiculous to a human with 'common sense' to explore. |
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I've only dabbled with machine-learning here and there for the past 10 years or so, but if there's one thing I've learned so far is that the data behind your ML code (and the way it is structured) is responsible for almost all the success or failure of any given ML algorithm. I have an younger colleague at work who I've started tutoring, and he seems really interested in doing ML work (maybe because of all of the recent hype).
I've tried to emphasize to him several times that ML algorithms come and go and that he should focus a lot of his time on the data itself (from where he intends to collect it? how is it structured? is it reliable? is it "enough"? etc), but it looks that my data-related advice falls on deaf ears every time, he's only interested in me pointing to him the latest cool ML algorithm. I guess he'll live and learn, so to speak.