Rise Of Automated Trading: Machines Trading S&P 500

Putting it all together, the following example shows the equity curve representing cumulative returns of the model strategy, with all values expressed in dollars. To increase the precision of forecasted values, instead of a standard probability of 0.5 (50 percent) we choose a higher threshold value, to be more confident that the model predicts an Up day. As we can see by the chart above, the equity curve is much better than before (Sharpe is 6.5 instead of 3.5), even with fewer round turns. From this point on, we will consider all next models with a threshold higher than a standard value. We can apply our research, as we did previously with the decision tree, into a Logistic Classifier model.