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TradingSection

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CriticalSection avatar
CriticalSection 27 كانون الثاني

CriticalSection avatar
CriticalSection 27 كانون الثاني

Model Training Set: 80,000 Trades across 8 Currency Pairs
Model Testing Set: 40,000 Unseen Trades across 8 Currency Pairs
Model Set Detail: 327 sampled and uniquely engineered data points per trade
Model Algorithm: Proprietary Ensemble Learning Scheme utilising XGBoost as a MetaLearner
Model Composition: Decision Classification Tree | 12935 Lines | 9.6MB
Model Revision: 1.32.7

1) This is the Alpha Signal Generation model (directional prediction) which co-operates with a separate execution engine tasked with establishing corresponding risk exposure on the basis of numerous dynamic factors.

CriticalSection avatar
CriticalSection 27 كانون الثاني

2) I fully expect conditions in the field to expose inefficiencies in a number of implicit heuristic assumptions within the ASG, possibly incurring a 'reality hit' to precision over time of anywhere between 8% and 15%.

3) Production ASG to be trained on 300,000 Trades currently held spanning 15 currency pairs, 220,000 more than the 80,000 above and involving an additional 7 currency pairs.

4) Production ASG testing set to comprise 50,000 isolated Trades spanning 15 currency pairs.

CriticalSection avatar
CriticalSection 27 كانون الثاني

5) Forward verification testing within live markets to require a statistically significant 10,000 Trades, at least, to achieve 'sign-off'.

6) Alpha Signal generation currently averages just over 100 Trades per day with a 'Trade' here and above meaning whatever it takes to 'acquire' and then 'relinquish' exposure to risk i.e. 1 Trade = 1 concluded episode of risk exposure = 2 successive positions e.g. buy-then-sell taken within the open market (in the most basic example)

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