Post #2042 by anchak on the Mechanical Investing board

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- Manlobbi

Investment Strategies / Mechanical Investing

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For EVERYONE who's interested and reading this : MLs are not like some panacea .....

In any modeling you do undertake - please ensure you benchmark it against a standard GLM using elastic-net - like in H2O.

All the other methods introduce massive amounts of non-linearity and complexity - you need to PROVE/CONVINCE that its warranted. Else go with the simpler model!

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