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    The 2nd KRX Stock Investment Algorithm Competition

    Algorithm | Structured | Time-Series | Building Portfolio | Finance | Sharpe Index

    • moneyIcon Prize : 5,000 만원
    • 1,323 Users Completed
    Closed
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    lgbm+tree(regressor)+sharpe_ensemble

    dododoh
    2023.07.31 22:00 1,344 Views language
    comments 0

    lgbm regressor와 tree regressor 모델 예측 결과와 target(sharpe ratio가 최대가 되는 close가격을 예측)한 모델 결과를 ensemble 하였습니다. 
    Ensemble 방식은 top 200에 우선적으로 많이 겹치는 것을 위치시키고, bottom 200에 많이 겹치는 것을 위치시켰습니다.
    그렇게 400개가 채워진 상태에서 나머지를 채웠습니다. 

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