I mentioned in a previous post that I had a Quantra course on Unsupervised Learning in Trading. Fact is that it attempted to cluster different financial instruments, with a view to pair trading instruments in the same cluster. It is generally recommended that one pair trade with instruments that have some fundamental feature in common. However I was unable to group crypto instruments in any way that produced good results. Sharpe ratios from backtesting were abysmal. I did try.
So, should I try again? Can I improve my understanding of unsupervised learning to the point where I can achieve useful results? Seems I’ve failed too many times to achieve any significant results over the past few years. What to do?