Post Made Community Wiki by olaker
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I think R's CRAN Task Views on Machine Learning is an excellent resource for beginners moving to advanced algorithm traders. It is well-structured, broad, up-to-date, and ready-to-use!

http://cran.r-project.org/web/views/MachineLearning.html

I believe all advanced quantitative traders already know this. But I haven't seen anyone post it here and Flake's related post.