Ranking isn’t the only game in town

[pitmaster]

@yuvaltaylor

I love ranking systems, but I am looking forward to also trying a ML-based non-rank-based system for stock-picking based on a return prediction algorithm. I realize that ranking isn’t the only game in town, but I prefer to wait for P123 to roll out its machine-learning interface before exploring it on my own.

First (non-technical) impression:

• non-linear models select very different stocks that a ranking-based (no more LFVN and NATR, etc.)
• ml system select more diverse stocks across size, good for high net worth users.
• ml system is more likely to find and hold for a while 10-or-more-Baggers (figure below, out of sample selection)

So Yuval was right: "ranking isn’t the only game in town".