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In my understanding your backtest is introducing a lot of sampling bias. You should use the traditional cross-validation of the training set and once you have calibrated your parameters on this you can try it out of sample. You should rather randomly pick a sample out of the training set, calibrate and validate, but choosing a top% introduces sample bias and ...


The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs by Galen Burghardt and Terry Belton is a good book on Treasury Futures.


There are some slight inaccuracies in using term basis. You probably meant strategies which profit from carry/futures roll. There are a lot of variations of carry/roll strategies on different markets. I can point you to: 1/ FX carry - can be easily traded using futures 2/ Term structure/carry in commodities 3/ Term structure/carry in bond futures 4/ Term ...


1) When you buy/sell a currency pair in the spot market, you will be holding the actual currency. For example, if one buys EUR/USD, one will own EUR and have paid with it in USD. If you have USD in the account to cover the purchase, your account will be debited the USD. If not, you will be borrowing USD from your bank and therefore incur financing costs....


With ML, you're looking to identify patterns in your inputs that result in your output(s). Thus you collect all the outputs you are hoping to be able to identify later, and the inputs which correspond to those outputs (i.e just before the output was generated), collect as many as possible of these relationships, stick them into a ML model and hope you've ...

1 check this out. I personally like RSI + Moving averages


I can point you to Quantpedia - The Encyclopedia of Quantitative Trading Strategies - it's a database of ideas for quantitative trading strategies derived out of the academic research papers.


Not to sure how much data you need, but I found Coinscious quoted the most affordable prices for historical data. You can get them as flat files or they offer API access. Their free level might work for you to start.

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