I have already created some strategies that so far are working well in the market*. I have used the Random Forest Classifier from scikit-learn. I have used a whole range of different training sets, from European largeCaps, smallCaps, FX-data, indices etc in various combinations with some proprietary features and class definitions. It has been optimized with out of sample techniques for different time lengths. As you can understand it takes some hours to train the complete forecaster, and I have solved that problem by serialize every trained classifier in .pkl files.
Can I upload and use my .pkl files in Quantopian?