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sharpe_machine


Total Posts: 62
Joined: Feb 2018
 
Posted: 2020-09-15 18:59
@Jurassic

CV is important for data science first and foremost. All the systematic trading groups (buy-side) I am aware of (including myself) trade based on some sort of prediction, say returns, vol or whatever. How to assess the quality of prediction without a robust CV? I do not know. How to set up a robust CV when your dataset is sub 10K points which are strongly correlated? I do not know. I might be under-educated here.

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CV == cross-validation.

Jurassic


Total Posts: 367
Joined: Mar 2018
 
Posted: 2020-09-15 19:29
@sharpe_machine misunderstanding i thought you meant coefficient of variation (mu / sigma). Also 10K seems like a decent amount of points to me. Splitting it into 10 parts still leaves 1000 points for each block.

Anyway, arent all financial datasets correlated? Equities would be no different to bond/commodities data.

Im clearly missing something with the issues in doing cross validation. Had a look online but I cant see anything on cross validation with highly correlated time series. Can anyone point me to something on this?
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