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Analysis of a Naive Bayes High Low Return Predictor using Previous Returns based on Thomas Wiecki's Post

This post is based “Machine Learning on Quantopian" by Thomas Wiecki and l also presented this modification of Thomas' notebook that uses previous returns as decision variables and a Gaussian Naive Bayes predictor instead of the Ada Boost classifier. This post is also related to the "Naive Bayes High Low Return Prediction Algorithm" post.

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2 responses

Hi German,

Thank you for sharing this notebook and associated strategy! I look forward to going through them both in detail.

If you ever consider offering an online course on this I'd be interested in attending it. :)


Hi Joakim,

Thanks for the answer. The intente was to have a very kind of ML Simple Mean Reversion algorithm using Naive Bayes simplest classification/prediction, I hope to hear from you once you go through both in detail.

I am publishing all the materials form my class in this link ML. I will very happy video conf with you when the students present their machine learning based trading algorithm that qualify to the contest in Quantopian that is the final project in the class. Please let me know if you are interested.