Financial Machine Learning: Using Machine Learning to Enhance the Performance of a Systematic Trading Strategy

Abstract

Machine learning in finance is a unique field. Special considerations need to be made when working with financial data. Samples are not independent or identically distributed. In this research, I show a mean reversion technical trading strategy can be enhanced with the proper use of machine learning, maintaining consistent profitability in harsh markets (Bitcoin). The machine learning enhancement results with a Sharpe ratio more than twice that of the original strategy.