Before revision: In this work we introduce QuantNet: an architecture that is capable of transferring knowledge over systematic trading strategiesin several financial markets. By having a system that is able to leverage and share knowledge across them, our aim is two-fold: to circumvent the so-called Backtest Overfitting problem; and to generate higher risk-adjusted returns and fewer drawdowns. To do that, QuantNet exploits a form of modelling called Transfer Learning, where two layers are market-specific and another one is market-agnostic .
After revision: In this work we introduce QuantNet: an architecture that learns market-agnostic .