Macro Trading with XGBoost

I read with interest an application of XGBoost for macro trading in a JP Morgan so I decided to try my hands on it. XGBoost has been the craze for a lot of the Kaggle data science competition. Ben Gorman blogged about it here.

Please see the attached notebook for my attempt.

Sorry Andrew, but RMSE seems to be lower in case of linear regression than XGBoost. Am i reading in a wrong way your figures?

Thanks!

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