Hybrid Signal Extraction, Machine Learning, and Algorithmic Financial Trading

Combining Computational Methodologies for Real-Time Learning and Signal Extraction

Out-of-sample Application

Published December 31, 2012 at 1693 × 954 in The Frequency Effect: How to Infer Optimal Frequencies in Financial Trading

After applying the constructed filter on the next 30 days out-of-sample.

Figure 5: After applying the constructed filter on the next 30 days out-of-sample. During the 30 day span, there are 6 total trades made, with 5 successful and a ROI of 14 percent.

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