Machine learning in trading: theory, models, practice and algo-trading - page 3521
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Horizon 50 :)
And at 100, it's not much different from 50
The longer the forecasting horizon, the lower the entropy. It is connected with the capture of trends, a lot of unidirectional deals in a row can be obtained.
So you still need to consider the balance between horizon and entropy.
It turns out that there is no direct correlation between the entropy of labels and stability on the OOS. But there is some indirect one.
Here I took 100 models on the same data trained - different Seed, below 3 graphs of PE dispersion and balance on my sample.
There is a dependence, but not what it should be - it turned out the other way round - the more PE, the more financial result.
Let's try to predict the balance on exam using PE from train
Trying to predict the balance on exam using PE from test.
And for comparison -let's try to use the balance from test to predict the balance on exam.
Well, it's not much better than the balance. I don't know, I think Recall is still the answer.
Below are 3 scatter plots of PE and Recall on my sample.
Trying PE from train to predict Recall on exam
Trying PE fromtest to predict Recall on exam .
And, the balance of Recall from test try to predict Recall on exam sample.
As they say, nice try
Maybe next time I'll get lucky.
7 bars ahead prediction
TF, symbol?
H1 euro pound in this case
Maybe next time we'll get lucky...
Explore this symbol.
H1 euro pound in this case
Explore this symbol.
I think it's pretty self-explanatory.