Anchak: A lot of the returns in the middle are noise and typically banded around a Zero-Mean.

I was normalizing all my NaN’s (missing values) which distorted the middle estimations but setting them to a negative value improved my results. I’m still in the learning mode, probably will be forever but my current model has drawdowns approximately the same as the overall universe. However, the gain from bottoms has historically have been the best periods. Perhaps those are the periods with the most mispricing. My model hasn’t done well the last few months, it hasn’t adapted to the current uncertainty.

The Kaggle contest was focused on very short-term mispricing, significantly different from my goal of finding stocks that will have at least 3 months and ideally a year of above average return. But is still informative as the overall market environment is similar.

Mechanical Investing FAQ

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