Course Performance Analysis - Machine Learning and AI Strategies

All tests have been done on testing data. We have used CAGR to Maximum Drawdown to S&P 500 as the comparative performance measure. You can read our blog article on "Why not to use Share Ratio for performance measure and why to use CAGR/Max DD ratio."

CAGR of S&P 500 for the past 50 odd years has been 10%. With maximum drawdown of 55%(Global Financial Crisis Crash in 2008). Hence the ratio being 10/55 = 0.18. Our goal as quants is to beat this ratio. All our strategies have beaten this ratio with the best being Neural Network Strategy.

Linear Regression

Decision Tree

Decision Tree 2

Support Vector Machine

Recurrent Neural Network

Long Short Term Memory

Combined AI Models: RNN+ Regression

Combined AI Models: RNN+SVM