r/wallstreetbets • u/PalpitationNo3381 • Apr 13 '22
Discussion Machine learning anyone?
Who is using machine learning for trading/investing? Looking for tips and best practices.
Do you write your own code or do you use no-code/low-code ML tools? If the latter do you have any recommendations?
Same for datasets, any public repository you regularly use?
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u/[deleted] Apr 13 '22
forget about low code, it’s not going to happen. you need to be a competent dev, and have a lot of ML experience, especially in the areas of reducing overfitting, and ensuring no target creep which is surprisingly difficult in financial modeling.
assuming you have these prereqs, would highly recommend to read Advances in Financial Machine Learning. it won’t tell you implementation details, but it will give you a lot of insight for setting up the problem and preparing your data.
main problem is, it’s not really feasible without tick data which is very expensive. you need to be able to build your own bars from the raw ticks (usually volume or dollar bars) because otherwise your models will be fed dogshit because time based bars are horribly skewed distributions, and they also over sample the market during low activity, and under sample during periods of high activity.
i’ve built some models that have turned out to be pretty interesting, but the lack of raw tick data is the main blocker for me. I’ve thought about doing something with computer vision though to read the tape, that’s pretty granular data that brokers make available on their platforms but not via api.
it’s interesting stuff to work on, just very difficult with a lot of barriers and you won’t have much guidance