Machine learning in trading: theory, models, practice and algo-trading - page 3551
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builds a 2-level clustering
How's that?
How's that?
SubCluster
What is it? A cluster within a cluster?
what is it? A cluster within a cluster?
yep
yep
Ah, I see - it turns out to be a variation on my clustering tree :)
Ah, I see - it turns out to be a variation on my clustering tree :)
I don't know what a clustering tree is
I don't know what a clustering tree is
I wrote here and earlier in the thread
Forum on trading, automated trading systems and testing trading strategies
Machine learning in trading: theory, models, practice and algo-trading
Aleksey Vyazmikin, 2024.03.15 19:28
I share the results, so the tree [3,3,3,3] - at each level in the leaf is clustered into 3 clusters, a total of 3 levels, the result is 27 final leaves.
We apply the result on 3 samples - test and exam did not participate in the tree construction.
The graph below shows the shift of target "1" in per cent relative to the average value of target "1" in its sample - for each leaf of the tree.
What is pleasing is the stability of the offset, i.e. where there was more than 0 or 1 on the train, it often remains on the other samples.
However, if we take examples in the train sample with an offset of more than 5%, we get only about 20% of examples from the whole sample, which is not enough.
Tut and earlier in the thread wrote
brain refuses to operate with your terms
Yeah, cv doesn't show the whole picture.
That's good to hear.
brain refuses to operate with your terms
It seems to be unconsciously assimilating :)
I don't know what was difficult for verbal perception there?