
I Tried Market Prediction with Machine Learning - mellosouls
https://towardsdatascience.com/what-happened-when-i-tried-market-prediction-with-machine-learning-4108610b3422
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alexcnwy
It sounds like the validation set was seriously overfit.

If you run 10'000 experiments over thousands of indicators, you're bound to
find some that idiosyncratically perform well on the validation set but
underperform out-of-sample.

You also can't conclude that "there was no subtle underlying pattern" just
because you couldn't find one...

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mellosouls
Original for Medium-phobes:

[https://shortcircuitsandinfiniteloops.blogspot.com/2019/11/w...](https://shortcircuitsandinfiniteloops.blogspot.com/2019/11/what-
happened-when-i-tried-market.html)

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zigzaggy
Thanks for this. I still want to try, even if it does fail. Sounds like my
idea of a very good time.

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mellosouls
I agree! It sounds like a fun experiment.

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diminoten
So many more failures should be published and documented like this, it's
_immensely_ valuable.

Thanks to the author for writing this article.

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mellosouls
Yeah, those were my thoughts. The idea of making money from projects like this
is alluring but probably unrealistic, and it's good to have an honest
assessment like this.

