 TPTBusiness
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5620ea1b0e
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feat: Optuna-optimized RF ML pipeline for daily strategies (+0.61%/month)
- 54 features from daily OHLCV (MA, RSI, MACD, ATR, ADX, Bollinger, etc.)
- Random Forest with Optuna TPE hyperparameter tuning (50 trials)
- Walk-forward validation with RiskMgmt backtest
- 5d horizon: OOS Sharpe +47.5, +0.61%/month
- Top features: vol50, sma20_100, sma200, calendar month
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2026-05-10 18:45:31 +02:00 |
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