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TSSB - David Aronson #455795
10/30/15 09:37
10/30/15 09:37
Joined: Apr 2014
Posts: 482
Sydney, Australia
B
boatman Offline OP
Senior Member
boatman  Offline OP
Senior Member
B

Joined: Apr 2014
Posts: 482
Sydney, Australia
I've just finished reading the somewhat grandiosely named "Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments: Developing Predictive-Model-Based Trading Systems Using TSSB" by David Aronson and Timothy Masters. This is the companion book to their free software, TSSB, for developing machine learning models for trading. The book cost about $120 from Amazon, but it was well worth the investment. There are some fantastic ideas contained within and the book is essentially a user manual for TSSB.

As a future feature, I would like to suggest a bridge between Zorro and TSSB. I think that the two could be an extremely powerful team. For example, Zorro could access TSSB's machine learning algorithms in a similar manner to the R bridge.

Even more importantly in my opinion, TSSB is able to create and manage large databases of price derivatives and other data, which facilitates the systematic mining of trading ideas.

Coupling the power, simplicity and robustness of Zorro with TSSB's feature management capabilities would be extremely useful.

Has anyone else looked at TSSB or read Aronson's latest book? I would love to hear your thoughts. I am currently working on implementing Aronson's idea for a machine learning algorithm that acts as a trade filter rather than a price movement forecaster. I'm seeing significant out of sample performance improvement with this method and would really like to discuss my approach with others who have attempted something similar. I'm using R instead of TSSB, but am basically using Aronson's approach.

Re: TSSB - David Aronson [Re: boatman] #455876
11/02/15 10:55
11/02/15 10:55
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
I will post a TSSB review on my blog in the next months. Although TSSB can not directly trade, I believe it is possible to control it with Zorro and thus realize a working trade system. I'm also in contact with Aronson about such a solution.

Re: TSSB - David Aronson [Re: jcl] #455911
11/02/15 22:22
11/02/15 22:22
Joined: Apr 2014
Posts: 482
Sydney, Australia
B
boatman Offline OP
Senior Member
boatman  Offline OP
Senior Member
B

Joined: Apr 2014
Posts: 482
Sydney, Australia
That's a very exciting development! Would you mind posting the feedback you get from Aronson?

Re: TSSB - David Aronson [Re: boatman] #467177
07/19/17 11:41
07/19/17 11:41
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
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D

Joined: Feb 2017
Posts: 369
Don't think I ever saw a review of TSSB on the blog, or did I miss it? Did you ever get feedback from Aronson?

Re: TSSB - David Aronson [Re: Dalla] #467186
07/19/17 16:35
07/19/17 16:35
Joined: Mar 2017
Posts: 48
Bologna
K
kmerlo Offline
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kmerlo  Offline
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Joined: Mar 2017
Posts: 48
Bologna


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