Machine learning in trading: theory, models, practice and algo-trading - page 3610

[Maxim Dmitrievsky]

СанСаныч Фоменко #:

What are "profitable trades"? What is that probability? 0.5, 0.6 ....

Where is the threshold that should formalise the notion of "profitable deal"? The problem is that the calculated threshold should remain a "threshold" at least at the next step of prediction.

I can't afford to write so much, or mudirators and skufas will again consider that I don't let anyone speak :) and my hands are not tin-plated. I'm not Artemy Lebedev.

Profitable - it brings Profit after fixing cluster labels in the marked dataset before training. We're discussing them. That is, we do not even touch the training.

If you can prove that playing with probabilities allows you to improve the overall result taking into account OOS, it will be a formal answer to why it is better to check groups of clusters rather than one by one.