Backtesting Machine Learning Models

Can machine learning truly revolutionize algorithmic trading, or are we simply chasing shadows in the data? Join us in this thought-provoking episode of Papers With Backtest as we delve deep into the groundbreaking research paper "Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability" by Avramov, Cheng, and Metzger (2019). Our hosts dissect the intricate relationship between machine learning (ML) and algorithmic trading, scrutinizing the real-world applicability of theoretical models that have dazzled researchers and traders alike.
As we explore various ML…