Posts
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NLP from Scratch: Annotated Attention
This post is the first in a series of articles about natural language processing (NLP), a subfield of machine learning concerning the interaction between computers and human language. This article will be focused on attention, a mechanism that forms the backbone of many state-of-the art language models, including Google’s BERT (Devlin et al., 2018), and OpenAI’s GPT-2 (Radford et al., 2019).
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Beating the Odds: Machine Learning for Horse Racing
Inspired by the story of Bill Benter, a gambler who developed a computer model that made him close to a billion dollars1 betting on horse races in the Hong Kong Jockey Club (HKJC), I set out to see if I could use machine learning to identify inefficiencies in horse racing wagering.
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Kit Chellel, The Gambler Who Cracked the Horse-Racing Code, ↩
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Histopathologic Cancer Detection with Transfer Learning
In this post we will be using a method known as transfer learning in order to detect metastatic cancer in patches of images from digital pathology scans.
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Predicting Academic Collaboration with Logistic Regression
In my last post, we learned what Logistic Regression is, and how it can be used to classify flowers in the Iris Dataset. In this post we will see how Logistic Regression can be applied to social networks in order to predict future collaboration between researchers. As usual we’ll start by importing a few libraries:
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Multi-Class Classification with Logistic Regression in Python
A few posts back I wrote about a common parameter optimization method known as Gradient Ascent. In this post we will see how a similar method can be used to create a model that can classify data. This time, instead of using gradient ascent to maximize a reward function, we will use gradient descent to minimize a cost function. Let’s start by importing all the libraries we need:
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Trading with Reinforcement Learning in Python Part II: Application
In my last post we learned what gradient ascent is, and how we can use it to maximize a reward function. This time, instead of using mean squared error as our reward function, we will use the Sharpe Ratio. We can use reinforcement learning to maximize the Sharpe ratio over a set of training data, and attempt to create a strategy with a high Sharpe ratio when tested on out-of-sample data.
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Trading with Reinforcement Learning in Python Part I: Gradient Ascent
In the next few posts, I will be going over a strategy that uses Machine Learning to determine what trades to execute. Before we start going over the strategy, we will go over one of the algorithms it uses: Gradient Ascent.
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Momentum Strategy from "Stocks on the Move" in Python
In this post we will look at the momentum strategy from Andreas F. Clenow’s book Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategy and backtest its performance using the survivorship bias-free dataset we created in my last post.
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Creating a Survivorship Bias-Free S&P 500 Dataset with Python
When developing a stock trading strategy, it is important that the backtest be as accurate as possible. In some of my previous strategies, I have noted that the backtest did not account for survivorship bias. Survivorship bias is a form of selection bias caused by only focusing on assets that have already passed some sort of selection process.
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Improving Cross Sectional Mean Reversion Strategy in Python
In my last post we implemented a cross-sectional mean reversion strategy from Ernest Chan’s Algorithmic Trading: Winning Strategies and Their Rationale. In this post we will look at a few improvements we can make to the strategy so we can start live trading!
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Backtesting a Cross-Sectional Mean Reversion Strategy in Python
In this post we will look at a cross-sectional mean reversion strategy from Ernest Chan’s book Algorithmic Trading: Winning Strategies and Their Rationale and backtest its performance using Backtrader.
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Backtesting Portfolios of Leveraged ETFs in Python with Backtrader
In my last post we discussed simulation of the 3x leveraged S&P 500 ETF, UPRO, and demonstrated why a 100% long UPRO portfolio may not be the best idea. In this post we will analyze the simulated historical performance of another 3x leveraged ETF, TMF, and explore a leveraged variation of Jack Bogle’s 60 / 40 equity/bond allocation.
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Simulating Historical Performance of Leveraged ETFs in Python
In this post we will look at the long term performance of leveraged ETFs, as well as simulate how they may have performed in time periods before their inception.
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