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TradingSection

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CriticalSection avatar
CriticalSection 27 Jan

CriticalSection avatar
CriticalSection 27 Jan

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 Jan

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 Jan

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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