We are finally past the 100-day milestone on our machine-learning trend-following models. Here is how it compares against our other momentum models:
The ML algos out-performed a majority of traditional momentum algorithms. “NN” here stand for Neural Network and “ML” for models that use a SVM under the hood. It will be interesting to see how these models look under the 200-day lens as the short-term “luck-factor” evens out.
You can check out these models here.
The first post in this series is here.
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