my latest idea.....

...is an interesting one.  machines find ideas, people approve them, rather than people find ideas (qualitative hypotheses) and machines (via backtesting) approve them. 

yeah, that's just what I want to be - downstream from a fucking COMPUTER

yes, a lot of the 'fundamentals' business model is flawed, but this is no way to fix it

I am trying to understand how this 'computer intelligence' is supposed to interface with 'real intelligence', and I don't get it.  But please tell all your fund managers this is a great idea, and you can even lend them billions to do it.   Yeah, completely changed my mind just this minute, it's a fucking great idea.  Brilliant.

for your space, it is definitely not a great idea....that is for sure...

for long/short equity, some flavors of credit, some flavors of CB, some trend following, and obviously stat arb, it is probably the right idea....

I'm down on just quant, and definitely down on just fundamental (except for strategies that require peering deeply into work out, details of the waterfall in an ABS, etc etc....)  I would just like to speed up the strategy discovery process......and, I'd like to do it on a large scale basis so that one could find dozens, if not hundreds, of viable unrelated strategies...am I asking for the moon?

FDAX>> Does that apply for the whole concept of "universal" computational algorithms? (Universal portfolios, universalization of provably profitable trading rules etc.)

NIP247: Does that apply for the whole concept of "universal" computational algorithms? (Universal portfolios, universalization of provably profitable trading rules etc.)

IMHO it specifically applies to data mining all willy-nilly with GAs.

I'm not wild about GAs in general, as I've seen all attempts to lead them towards something useful ecclipsed by more specialized techniques. They are universal true enough, but exactly therein lies the problem: They are so universal that you can't really do anything specific with them.

Other "universal algorithms" would suffer from the same problem.

In Cover's specific terms, a Universal Portfolio is a portfolio that is continuously rebalanced according to some rule to specifically beat the best instrument of the universe in hindsight (in absence of transaction costs, spreads, frictions, etc )

The paper about trading markovian price models refers to Covers' work as the worst-case scenario, i.e. when you really have no clue about the distribution. Kakade adds some restrictions and "derive" (from what I've understood) the optimal rebalancing rules that should hold iif the one of the models he uses are profitable. So he refers to covers work when he talks (in the abstract) of "universally profitable" strategy.

Really wish I knew where to do more reading on strategies - how to be really systematic about it.  Everything I do in this space for single-name risks is very custom-tailored... which is not great b/c you don't have a good idea of the change in Sharpe vs. your alternatives.  That's just a one-dimensional example.  Anyhow, there's much more - and we've talked about it in this thread, which is good.  But how about the literature - is there anything there which is good at all? 

I don't know.  I would guess that the best funds that use it probably are not going to be keen on writing articles about it.  the only fund manager that I know of who writes articles about what he thinks about is Thorp.  anyway, perhaps you can take my word on it that...<<sorry had to delete that>>.  they are all >5bill in capital, and they put on lots and lots and lots of trades.....anyway, the other funds that are pontificating on global economics and issuer-wise sheah are ok, but, at least from my perspective, there is a certain ad-hocness to it.  One large European fund is the exception...I like those guys, and they have relatively few strategies spawned by trader's instinct coupled with thourough thought on what will happen in Japan, Europe, the US, etc....

this paper looks sort of interesting.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=292620#PaperDownload

also, this sheah...probaby soo 6 years ago.

for another study of Universal Portfolio's one might want to look at this paper

Can We Learn to Beat the Best Stock

http://www-2.cs.cmu.edu/afs/cs/project/jair/pub/volume21/borodin04a.pdf