I've built quite a few of these kinds of models. The real trick is to compare it against other methods AND to properly split A LOT of data. In many cases, (depe

I've built quite a few of these kinds of models. The real trick is to compare it against other methods AND to properly split A LOT of data. In many cases, (depending on the input data) a random walk does roughly as well as "predicting". This is because signal data (such as stock data) often just follow a random (or seemingly random) trend.