I do not recommend this: Free Software on statistically sound machine learning for algorithmic trading
We looked at this which we do not recommend. It is so complicated since it is free. Need support? Pay for the documentation and support A bad model to work from.
AronsonPresident of Hood River Research, kindly provided this excerpt from his book, ‘Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments: Developing Predictive-Model-Based Trading Systems Using TSSB.’
This book explores key topics like:
- How to estimate future performance with rigorous algorithms
- How to evaluate the influence of good luck in backtests
- How to detect overfitting before deploying your system
- How to estimate performance bias due to model fitting and selection of seemingly superior systems
- How to use state-of-the-art ensembles of models to form consensus trade decisions
- How to build optimal portfolios of trading systems and rigorously test their expected performance
- How to search thousands of markets to find subsets that are especially predictable
- How to create trading systems that specialize in specific market regimes such as trending/flat or high/low volatility
In this excerpt, David introduces TSSB (Trading System Synthesis & Boosting), and lays out two approaches to automated trading.
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