Post #3484 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I know that most here have doubts that selecting equities by Machine Learning are in the same category as equating the S&P500 prediction to butter in Bangladesh production. But as a comparison to using the profitability equation which has a 10.2% advantage over the universe in the upper bin. My novice ML system still in the early development stage currently has backtests with a 17% CAGR advantage (20% over the last 5 years). It works with gradually declining returns by selecting 10, 25, 50 or even a 150 stocks with lower turnover than my old screens. The problem is that ML has turned out to be an order of magnitude more difficult than the academic papers or textbooks make it appear.

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