Optimal Linear Signal: An Unsupervised Machine Learning Framework to Optimize PnL with Linear Signals. (arXiv:2401.05337v1 [q-fin.ST])

This study presents an unsupervised machine learning approach for optimizing Profit and Loss (PnL) in quantitative finance. Our algorithm, akin to an unsupervised variant of linear regression, maximizes the Sharpe Ratio of PnL generated from signals ...