Marco,
The truth is we all can experiment with these methods and more now. We can.
BUT we can only rebalance ranks once per week with the present downloads. And we cannot rebalance z-scores and Min/Max at all unless (in my case) I download 24 years of data each time.
Not practical for daily rebalance, I think. I run 2 ports each day.
I don’t have insight to what you plan but you should give Pitmaster, test user, Jonpaul etc the option to try different methods and find out thru cross-validation what works for for them.
I don’t think a discussion on the forum and a vote, feature request etc will work for a lot of machine learners.
As practical as it sounds I have little interest in Exponential weighted sampling for example but absolutely agree if I become immortal and have unlimited time I should do that.
Someone else may think it is the first thing to try and I VOTE WE LET THEM DO JUST THAT!!! Note again, THEY PROBABLY CAN DO THAT now with Python.
It would be easy to let Pitmaster do that if you let him have a way to rebalance z-scores and or Min/Max.
I do get that some (including perhaps Pitmaster) can do this with the API with ranks now. But I think he still would need a large download to do this with Z-score or MIN/MAX, I think.
I am sure you are addressing this in a way that will allow Pitmaster to do that but I thought you said “might” remember the training for z-score rebalance. That makes me wonder how you could make everyone able to do what they want.
At the end of the day I can stay with what I use now but I would not mind if your AI/ML worked for a lot of people. Attracted new ML members with their own ideas on cross-validation (different from mine or Pitmaster’s perhaps).
To be clear my ML method is unique and no one else is going to do it. Also unique in the sense that I do not need the same downloads as Jonpaul, Pitmaster etc. Not that I wouldn’t try that route if I could rebalance a method that I trained using a random forest for example.
Jim