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A comment on Show HN: How I Used Machine Learning to Optimize My Trading Algorithm. Parent comment

Re:Show HN: How I Used Machine Learning to Optimize My Trad... by xntrk on Tuesday March 26, 2013 @05:22PM (#5446158)
yeah the algo looked like it was just highly leveraged version of the benchmark. The benchmark, which you can get a better look at if you remove the algos chart looks a lot like SPX or some other US index (at least when you eyeball it). I would like to see this run against 2008s market and see what would happen.
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Re:Show HN: How I Used Machine Learning to Optimize My Trad... by dunster on Tuesday March 26, 2013 @05:26PM (#5446175)
The benchmark on Quantopian is indeed modeled after the S&P 500.

How would the algo do in 2008? It's trivial for you to check it yourself. Click the "clone algo" button, change the time range of the test, and click "Run Backtest." Question answered!

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Re:Show HN: How I Used Machine Learning to Optimize My Trad... by Domenic_S on Wednesday March 27, 2013 @03:05AM (#5448221)
> I would like to see this run against 2008s market and see what would happen.

Disaster. I'm only in Nov and at -200% return, 88% drawdown. Ouch.

Edit: spoke too soon: -453% vs -45.3% bench in nov.

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