What Happens When You Swap Out XGBoost? A 6‑Model Momentum Showdown
Comparing XGBoost, LightGBM, CatBoost, Random Forest, LASSO, and a Neural Net in the same momentum trading system using identical features and backtests. All three GBMs beat the S&P on default settings.
Business Science’s Time Series Course is Incredible
I’m a time series fan. Big fan. My first job out of grad school was for a utility company building econometric time series analysis and forecasting models. Lots of ARIMAs and neural nets. However, that was now over 10 years ago (don’t know how the hell that happened).