Upd: you can buy predictions here
Hi everyone, I would like to start selling predictions for my model jackerparker4 (started only at Round 263). Since we don’t have a marketplace yet, I decided to create a post here on the forum.
Brief overview of the model: The model was developed using LightGBM with strong focus on accurate CV, feature selection and feature neutralization. Actually, I used the same principles a year ago with another model which I’ve discussed and shared in this post (Feature neutralization workflow). That old model is still freely available on github. However, at this time I’ve revised all the stages and finished with a new model. In particular, the fast combinatorial cross validation was used and it was discussed in this forum post (Fast Combinatorial Cross Validation). As for the new feature selection and feature neutralization workflows - I didn’t discuss it anywhere and it is my “secret sauce” right now. The model was trained using training (1-120 eras) + val1 (121-132) data, and val2 (197-212 eras) data was used as holdout. That is why there is no sense to compare and look into normal validation report, but here is a comparison of jackerparker4 vs example_predictions for val2 data:
The statistics from my local CV: 0.04636 COR, 1.84 sharpe and -0.0297 min COR value for eras 1-132.
And here are the current live results (the model was started only at round 263):
Additional info that does matter here:
Kaggle (markmipt | Contributor | Kaggle): I participate in a similar competition (Jane Street Market Prediction | Kaggle). It will be finally ended only in 2 months, but my model has 56th position on the current live leaderbord. That kaggle model is something average between my current workflow and the workflow I’ve shared a year ago. The fact that my methods in general work well in different competitions adds some confidence, at least for me.
Science (Mark V Ivanov - Google Scholar): I have a PhD in bioinformatics, my h-index is 12 and one of my strongest skills is creation of schemes for validation of results in my field (proteomics). The latter also helps me in the model development for finance-related stuff.
Other models: I also have 5 additional active accounts (jackerparker-jackerparker6), but these models are just dot products of jackerparker4. For example, jackerparker5 is the same predictions as the jackerparker4, but 100% feature neutralized. Jackerparker6 is 0% feature neutralized. Jackerparker1-3 are similar models as 4-6, but developed using less reliable CV. So, I have only one model which I trust and that reduces chances of random fit into live data.
To assess the prospects of predictions selling and since my model has not many live rounds, I would like to start with a 25$ price for a single round.
Please contact me for more details here or in the chat.