I trained models using LightGBM with the parameters shown on the charts for each target. This test used cyrus 20 as the scoring target and scoring.contributive_correlation() to estimate MMC and other metrics for the validation data. The other metrics are correlation, standard deviation, sharpe, and consistency across eras. Consistency is simply the count of the eras where correlation > 0.01 divided by the number of eras.
Here are the targets with the best MMC:
Even though rowan 20 has a slightly higher MMC, teager 20 and claudia 20 have better Sharpe and consistency values. The targets that had the best correlation (and consistency) are…
I assume cyrus 20 has the best correlation since it was used in the correlation metric.
This is just a starting point to see which targets may perform better.
Here are some charts and the data for all the tests: