Re: [心得] 用FB Prophet預測美股未來行情

看板Stock作者hunej (cookpro)時間2年前 (2021/11/28 01:19)推噓5(6推 1噓 5→)

留言12則, 7人參與討論串2/2 (看更多)

https://link.springer.com/chapter/10.1007/978-981-16-3067-5_12 這東西已經很多論文幫你回測過了基本上是沒什麼用 https://www.backtrader.com/blog/2019-08-22-practical-backtesting-replication/practical-replication/ I've reproduced 130+ research papers about "predicting the stock market", coded them from scratch and recorded the results. Here's what I've learnt Because it has been deleted here a quick summary: The strategies do not work If the authors claim a given strategy stopped working due to alpha decay, the tests were run against past data and it still did not work Bottomline: It's all overfitting, p-hacking or a tiny alpha which doesn't need to decay because commissions do already destroy the alpha. 就算是學術論文也充滿陷阱我建議看論文時沒有sharpe ratio的都直接跳過不考慮交易成本的也直接跳過只用個股OHLVC做預測的也直接跳過你的交易成本夠低嗎？你的系統速度夠快嗎？你的資料品質夠高夠細膩嗎？建議以上幾點都做到最好再來玩量化交易個人淺見 -- ※ 發信站: 批踢踢實業坊(ptt.cc), 來自: 36.227.155.174 (臺灣) ※ 文章網址: https://www.ptt.cc/bbs/Stock/M.1638033557.A.1DD.html

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ccutebenbi

11/28 01:35, 2年前 , 1^F

11/28 01:35, 1^F

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ast2

11/28 01:49, 2年前 , 2^F

11/28 01:49, 2^F

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tim30816

11/28 01:56, 2年前 , 3^F

11/28 01:56, 3^F