Converting a $100k+ Trading Algorithm from Excel to Python
Plus, more links to make you a little bit smarter today.
Man With No Music Knowledge Attempts A Vocal Mashup
Converting a $100k+ Trading Algorithm from Excel to Python
When I was young, I made the mistake of getting a degree from a business school instead of an engineering school. It did serve to make my academic life very easy, but part of that was because we didn’t learn anything that instructors deemed “too difficult for a business student”.
HelloFresh: LLM Evaluations on Streams of Real-World Human Editorial Actions across X Community Notes and Wikipedia edits
Benchmarks have been essential for driving progress in machine learning. A better understanding of LLM capabilities on real world tasks is vital for safe development. Designing adequate LLM benchmarks is challenging: Data from real-world tasks is hard to collect, public availability of static evaluation data results in test data contamination and benchmark overfitting, and periodically generating new evaluation data is tedious and may result in temporally inconsistent results. We introduce HelloFresh, based on continuous streams of real-world data generated by intrinsically motivated human labelers. It covers recent events from X (formerly Twitter) community notes and edits of Wikipedia pages, mitigating the risk of test data contamination and benchmark overfitting. Any X user can propose an X note to add additional context to a misleading post (formerly tweet); if the community classifies it as helpful, it is shown with the post. Similarly, Wikipedia relies on community-based consensus, allowing users to edit articles or revert edits made by other users. Verifying whether an X note is helpful or whether a Wikipedia edit should be accepted are hard tasks that require grounding by querying the web. We backtest state-of-the-art LLMs supplemented with simple web search access and find that HelloFresh yields a temporally consistent ranking. To enable continuous evaluation on HelloFresh, we host a public leaderboard and periodically updated evaluation data at this https URL.
Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which are often based on specific models and statistical assumptions, investors often mitigate risk and enhance robustness by combining multiple strategies, akin to common approaches in collective learning prediction. However, the absence of a distribution-free and consistent preference framework complicates decisions of combination due to the ambiguous objective. To address this gap, we introduce a novel framework for decision-making in combining strategies, irrespective of market conditions, by establishing the investor's preference between decisions and then forming a clear objective. Through this framework, we propose a combinatorial strategy construction, free from statistical assumptions, for any scale of component strategies, even infinite, such that it meets the determined criterion. Finally, we test the proposed strategy along with its accelerated variant and some other multi-strategies. The numerical experiments show results in favor of the proposed strategies, albeit with small tradeoffs in their Sharpe ratios, in which their cumulative wealths eventually exceed those of the best component strategies while the accelerated strategy significantly improves performance.
Do Language Models Understand Morality? Towards a Robust Detection of Moral Content
The task of detecting moral values in text has significant implications in various fields, including natural language processing, social sciences, and ethical decision-making. Previously proposed supervised models often suffer from overfitting, leading to hyper-specialized moral classifiers that struggle to perform well on data from different domains. To address this issue, we introduce novel systems that leverage abstract concepts and common-sense knowledge acquired from Large Language Models and Natural Language Inference models during previous stages of training on multiple data sources. By doing so, we aim to develop versatile and robust methods for detecting moral values in real-world scenarios. Our approach uses the GPT 3.5 model as a zero-shot ready-made unsupervised multi-label classifier for moral values detection, eliminating the need for explicit training on labeled data. We compare it with a smaller NLI-based zero-shot model. The results show that the NLI approach achieves competitive results compared to the Davinci model. Furthermore, we conduct an in-depth investigation of the performance of supervised systems in the context of cross-domain multi-label moral value detection. This involves training supervised models on different domains to explore their effectiveness in handling data from different sources and comparing their performance with the unsupervised methods. Our contributions encompass a thorough analysis of both supervised and unsupervised methodologies for cross-domain value detection. We introduce the Davinci model as a state-of-the-art zero-shot unsupervised moral values classifier, pushing the boundaries of moral value detection without the need for explicit training on labeled data. Additionally, we perform a comparative evaluation of our approach with the supervised models, shedding light on their respective strengths and weaknesses.
Introducing Stable Audio Open - An Open Source Model for Audio Samples and Sound Design
Stable Audio Open is an open source text-to-audio model for generating up to 47 seconds of samples and sound effects.
Users can create drum beats, instrument riffs, ambient sounds, foley and production elements.
The model enables audio variations and style transfer of audio samples.
Can Language Models Use Forecasting Strategies?
Advances in deep learning systems have allowed large models to match or surpass human accuracy on a number of skills such as image classification, basic programming, and standardized test taking. As the performance of the most capable models begin to saturate on tasks where humans already achieve high accuracy, it becomes necessary to benchmark models on increasingly complex abilities. One such task is forecasting the future outcome of events. In this work we describe experiments using a novel dataset of real world events and associated human predictions, an evaluation metric to measure forecasting ability, and the accuracy of a number of different LLM based forecasting designs on the provided dataset. Additionally, we analyze the performance of the LLM forecasters against human predictions and find that models still struggle to make accurate predictions about the future. Our follow-up experiments indicate this is likely due to models' tendency to guess that most events are unlikely to occur (which tends to be true for many prediction datasets, but does not reflect actual forecasting abilities). We reflect on next steps for developing a systematic and reliable approach to studying LLM forecasting.