The Alpha Scientist

Discovering alpha in the stock market using data science

Stock Prediction with ML: Model Evaluation

This post is going to delve into the mechanics of walk-forward modeling which is, in my view, the most robust way to train and apply machine learning models in inherently sequential domains like finance. The overriding objective of the methods described here is to overcome the issues inherent in traditional cross validation approachs.

We Are All FX Traders Now

Investors in the US have the luxury of ignoring exchange rates when trading in markets quoted in US dollars. However, this can create a blind spot to the giant impact that exchange rates have on prices and returns.

Stock Prediction with ML: Walk-forward Modeling

This fourth post in a series on transforming data into alpha provides the mechanics of walk-forward modeling which is often regarded the most robust way to train and apply machine learning models in inherently sequential domains like finance.

Sell in May and Go Away?

There's an old wall street axiom which advises to "sell in May and go away". Has this advice ceased to work in modern markets? Are there other seasonal patterns in the broader market? This analysis evaluates seasonal patterns on the S&P 500 from 1993 to present.

Stock Prediction with ML: Feature Selection

This is the third post in my tutorial series on applying machine learning to stock prediction. This post is going to delve into the mechanics of feature selection - a critical step towards improving model robustness. This will cover a systematic approach for choosing between the many variations of features you've created during the feature engineering stage.

Stock Prediction with ML: Feature Engineering

This post is going to delve into the mechanics of feature engineering for the sorts of time series data that you may use as part of a stock price prediction modeling system. I'll cover the basic concept, then offer some useful python code "recipes" for transforming your raw source data into features which can be fed directly into a ML algorithm or ML pipeline.

Stock Prediction with ML: Data Management

This first post of a tutorial on machine learning in finance will present a framework for organizing and working with data. Perhaps not the most electrifying of topics, but it's the foundation for later modeling tutorials. It's also of critical significance and importance. I've heard it said that 90% of time in real-world quant finance is spent on data rather than models.