Post #3700 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Anchak; Did you look at the scores ? They are all in the 1.8% ish range

Did you look at how the score is computed?
Submissions are evaluated on a scoring function defined as the sample weighted zero-mean R-squared score (R2) of responder_6. The formula is give by:

The formula is essentially the difference between Jane Street’s prediction and the contestants answer.

I’ve been running ML predictions for more than a year now and with the very noisy financial data environment your R^2 number for predictions over the entire universe looks very poor. But when you look at the average returns over the top few percent of the predictions the results are profitable and if you add a hysteresis between buy and sell rules you even come up with very good sharp ratios.

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