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My Random Forest Was Mostly Learning Time-to-Expiry Noise
- zzleeper 7mo agoThat's a refreshing article. Easy to read and I learned a few things!
- phyzome 7mo agoWhat's the context? I feel like there's at least three paragraphs of intro missing here.
- andai 7mo agohttps://illya.sh/thoughts/ https://illya.sh/thoughts/ If you scroll past the posts about oil, you will find dozens of posts on the same subject (mentioning random forests). It seems to be predicting Bitcoin price. Edit: this seems to be the most detailed post: https://illya.sh/thoughts/my-trading-ml-factory-yielded-22-return-on-gold-on-a-daily https://illya.sh/thoughts/my-trading-ml-factory-yielded-22-r...
- loehnsberg 7mo agoThe blogger trained a random forest on the returns of some price with a set of features and the ttm feature was strongest. Did I miss anything?
- maest 7mo agoWhy not use SHAP?