The anatomy of an ML-powered stock picking engine

Hi, fellow HN'ers! Author here, please let me know if you have any questions or thoughts!

Nice writeup, thank you for sharing so openly!

The three things I always want to know from stock picking ML people:

1. Did you put your own money in it ?

2. How'd it go?

3. How well does your engine do vs a fixed stock allocation based on trend-statistics computed on the whole time window (i.e., compared to a fixed optimal portfolio computed with mean/std values you don't have access to, but which isn't allowed to change its choice. what's the regret if you are familiar with online learning)

If you have a tool that can generate great returns, then why fall back to a newsletter?

Great question.

If I beat the market by 20% (say SPY generated 0% for the year, very optimistic at this point), and I have allocated $100k to this, I make $20k before taxes.

That's less than minimum wage.

Meanwhile, allocators expect a track record of at least 3-5 years.

Ideally, if I have an asset, I'd like to extract as much revenue as I can.

Hope this makes sense.

Have you considered submitting your predictions to the Numerai Signals? It's market neutral so as long as your models can generate some alpha you can still get good returns.