My Random Forest Was Mostly Learning Time-to-Expiry Noise(illya.sh)
illya.sh
My Random Forest Was Mostly Learning Time-to-Expiry Noise
https://illya.sh/threads/out-of-sample-permutation-feature-importance-for-random
5 comments
The 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?
What's the context? I feel like there's at least three paragraphs of intro missing here.
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-r...
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-r...
Why not use SHAP?
That's a refreshing article. Easy to read and I learned a few things!