By Ernest Chan and Akshay Nautiyal Features are inputs to supervised machine learning (ML) models. In traditional finance, they are typically called “factors”, and they are used in linear regression models to either explain or predict returns. …

By Ernest Chan Predictnow.ai is pleased to announce the launch of our new pre-engineered stock fundamental features. These features are ratios and indicators that have been constructed from the quarterly and annual financial statements of public companies. In the US, these are the 10-Q and 10-K filings to the SEC…

By Ernest Chan What is PredictNow.Ai? PredictNow.ai is a no-code machine learning SaaS-based in Toronto, Canada that is primarily focused on helping traders apply machine learning to their investment strategies in order to predict the profitability of their next trade. PredictNow.ai …

By Ernest Chan Every trader knows that there are market regimes that are favorable to their strategies, and other regimes that are not. Some regimes are obvious, like bull vs bear markets, calm vs choppy markets, etc. These regimes affect many strategies and portfolios (unless they are market-neutral or volatility-neutral…

By Ernest Chan One major impediment to widespread adoption of machine learning (ML) in investment management is their black-box nature: how would you explain to an investor why the machine makes a certain prediction? What’s the intuition behind a certain ML trading strategy? How would you explain a major drawdown…

By Ernest Chan What is the probability of profit of your next trade? You would think every trader can answer this simple question. Say you look at your historical trades (live or backtest) and count the winners and losers, and come up with a percentage of winning trades, say 60%…

By Ernest Chan I generally don’t like to write about our investment programs here, since the good folks at the National Futures Association would then have to review my blog posts during their regular audits/examinations of our CPO/CTA. But given the extraordinary market condition we are experiencing, our kind cap…

By Ernest Chan Introduction The monthly US nonfarm payroll (NFP) announcement by the United States Bureau of Labor Statistics (BLS) is one of the most closely watched economic indicators, for economists and investors alike. (When I was teaching a class at a well-known proprietary trading firm, the traders suddenly ran…

By Akshay Nautiyal, Quantinsti Simulating returns using either the traditional closed-form equations or probabilistic models like Monte Carlo has been the standard practice to match them against empirical observations from stock, bond and other financial time-series data. (See Chan and Ng, 2017 and Lopez de Prado, 2018.) …