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One very basic reason why one can't compare Sharpe ratios with different rebalancing (trading?) timeframes is in the way they calculate SR: the numerator is proportional to $N$ while denominator is proportional to $\sqrt(N)$. By increasing the frequency over which returns are averaged and annual volatility is calculated one inflates SR by a factor of ...

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Buy side techniques such as machine learning might be useful but i have not seen any trader applying this method. (see market wizards book series) Some tried but stopped using. Larry Williams, and seasonal, cyclical traders are using patterns based on month of day, days of week etc... you can analyze them as well. There is also best know 6 months of year ...

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I second Tibshirani's book. There is an another edition you can download free on internet : http://www-bcf.usc.edu/~gareth/ISL/

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The classic text for machine learning is 'The Elements of Statistical Learning' by Tibshirani et al. I believe the term "data mining" is often used synonymously with "machine learning".

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