Added a new Big Cap AI Factor System

Apr 26, 2025

∙ Paid

I added a new Big Cap AI Factor System to the group (for paying subscribers of this blog):

https://www.portfolio123.com/app/group/348/data/PTF

https://www.portfolio123.com/port_summary.jsp?portid=1848997

The predictor was trained from 2003 - 2019 (Pseudo OOS!), it has not seen this data:

The turnover is too high for institutions, but active private traders might like it.

We are in the process of producing videos about the AI Factor, this will be the star in the video ;-)

My best lift chart so far on a big cap model:

Feature importance (sector fundamentals seem to matter!):

Config:

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