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?



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Calling All Singapore and S.E.A. Budding Quants. Quantopian Workshop in Singapore.

At the end of this month, I will be conducting an Advanced Algorithmic Trading Workshop in Singapore.  There is an air of urgency, anticipation, and excitement for this coming workshop. The age of Quant either for trading, searching out new trading signals, operational efficiency or even applying Artificial Intelligence in …