Practice Machine learning

Validate a return classifier without leakage

Hard+50 pointsAbout 80 minutesMachine learning

UsesMachine Learning 1.5 Validating models on time series Machine Learning 1.4 Classification

Coming soon

Set up purged walk-forward splits for a direction classifier and show how naive validation flatters it.

This problem opens with Machine Learning for Finance. It draws on the modules below.

Machine Learning 1.5 Validating models on time series (coming soon)
Machine Learning 1.4 Classification (coming soon)