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- jcl366 replied Jun 9, 2015
In fact you can sort of directly measure data mining bias. There are several methods, one of them is White's reality test that you can google. Unfortunately, all those methods require running a lot of systems for generating a distribution. ...
- jcl366 replied May 30, 2015
Yes. What I meant was that the MAE/MFE data are taken over the hours of a business day with the parameters (A ~ 9, D ~ 8) tested by PipMeUP. I would generally agree, but disagree in this case. You're right when you use data mining just for fiddling ...
- jcl366 replied May 28, 2015
Hmm, this looks as if the system, if it's not a random result, has indeed been trained on some seasonal effect. A=9 is the opening time in Europe. When the system is trained on the daily MFE/MAE, 7 or 8 would be the best D value. If we assume that ...
- jcl366 replied May 28, 2015
I've just found this thread and scanned over it - very, very interesting! I would like to reproduce your results, but with different software than F4. As it uses simple linear regression and hourly bars, I suppose the results should be reproducible ...
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