New Features, New functions, Lower errors

This will probably be the last post I have regarding PAM.  All the project files can be found on my github page.   I don't think I'll be working with her anymore as I don't think theres anymore methodologies to drastically improve her error with JUST price action.  It's not worth my time and I need to move on.  I introduced some new features such as Gap, Previous ratios, etc.  They did lower the errors again. I have come a long way from validation errors of approx 0.6938 to 0.4955.  Out-of-sample pairs forecasting is still inconclusive as the model did marginally improve in errors but still quite high compared to validation set and training set errors which I found weird.


Regardless, I will be retiring the project and anyone who wants to improve Pam is welcome to do so.  The last thing I believe I will do is wait a few weeks and run another trading simulation to see how it generalizes overall to new information.

Leave a Reply

Your email address will not be published. Required fields are marked *