Apr 9, 2021

Off the top of my head I don't recall the accuracy/precision metrics. I don't think they are the most relevant ones. It really depends on the trading strategy.

The likelihood of +ve outcome should be seen in comparison to avg. % of +ve outcome in train data. If for a stock it is 0.6 and avg % of +ve outcome in train data is 0.1, 0.6 is a really good score.

Maximizing accuracy is not the aim, maximizing returns with similar risks is the aim. And that cannot be answered with these metrics.

Abhay Pawar
Abhay Pawar

Written by Abhay Pawar

ML @ StitchFix, Instacart. Columbia and IIT Madras alum

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