In the last Announcements we can read:
“For Q4 2021, we want to continue unification of Signals and Tournament by starting to score Tournament submissions against a 20D2L target (20 days long w/ a 2-day lag). This is a small, but important, change from the 1-day lagged target we currently use for scoring. This change will likely take place sometime in November, so be ready for the new scoring process”
If I understand the change, the performance will be compute as (close_20 - close_2) / close_2 instead of (close_20 - close_1) / close_1. Right?
This will require the training of models with a new target (correlated with target_nomi_20, but different). We don’t know how the change in target will affect to feature selection of parameter tuning until we have the new target, so I don’t know what exactly means “be ready”.
I hope you release the new target a few weeks before the change so we can check how it affects to the models.