Trade Selection with Supervised Learning and OCA
Saltiel, David; Benhamou, Eric (2018), Trade Selection with Supervised Learning and OCA. https://basepub.dauphine.fr/handle/123456789/18912
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-02012476
Series titlePreprint Lamsade
MetadataShow full item record
Laboratoire d'Informatique Signal et Image de la Côte d'Opale [LISIC]
Laboratoire d'analyse et modélisation de systèmes pour l'aide à la décision [LAMSADE]
Abstract (EN)In recent years, state-of-the-art methods for supervised learning have exploited increasingly gradient boosting techniques, with mainstream efficient implementations such as xgboost or lightgbm. One of the key points in generating proficient methods is Feature Selection (FS). It consists in selecting the right valuable effective features. When facing hundreds of these features, it becomes critical to select best features. While filter and wrappers methods have come to some maturity, embedded methods are truly necessary to findthe best features set as they are hybrid methods combining features filtering and wrapping. In this work, we tackle the problem of finding through machine learning best a priori trades from an algorithmic strategy. We derive this new method using coordinate ascent optimization and using block variables. We compare our method to Recursive Feature Elimination (RFE) and Binary Coordinate Ascent (BCA). We show on a real life example the capacity of this method to select good trades a priori. Not only this method out performs the initial trading strategy as it avoids taking loosing trades, it also surpasses other method, having the smallest feature set and the highest score at the same time. The interest of this method goes beyond this simple trade classification problem as itis a very general method to determine the optimal feature set using some information about features relationship as well as using coordinate ascent optimization.
Subjects / KeywordsFeature selection
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