Good try. Some observations: - The sharp ratio is very bad. Focus on improving. Instead of looking for spectacular gains, focus on solid growth. - Looking at the daily tick backtest, at many points, the alpha is so negative that the losses your algo occurs would make you delinquent. Again, focusing on better sharp ratio should help here. (RETURNS -72.64%) - Practical consideration: You look at every stock in data for each tick and its historical prices. This could work perfectly well at a low frequency trades e.g. daily, but not at per-second tick because computing time > transaction time i.e. you would be acting on stale inference. - Transaction costs?

PS: Pet peeve. Gradient descent is a heuristic at best and not true machine learning :)