Has anyone used machine learning to trade?
andr: Yes, I did work on that. I used a neural network to trade FX. I wrote my own neutral network framework using code generators for x86 and CUDA.The neural network was a fairly normal feed-forward network with GA-inspired, but heavily modified learning process. It combined layers of neurons with memory and memory-less neurons. It is essential to keep the network size small, because a big network will just memorize the data you use to train it.Also, I used several other inputs, such as the frequency of trades per minute, overnight rates for each currency, and stock market indexes for the relevant countries.Finding historic data was the biggest problem. I used Bloomberg data from my university, but that was a pain in so many ways. There is NO free data for most of the inputs I needed. Good data from Thomson Reuters or something like starts at $5k/mo.Overall, the model worked fairly well, generating about 10% annual returns even with a few handicaps I put to be on the safe side. This was about an year ago and the only reason I stopped working on it was that my partner in the financial startup quit. I'm sorry if some of my terminology is wrong - I haven't been working in that field since then. If you have any questions, I'd be happy to talk about this. My email is in my profile.