Correction of second Strategy book...

This one:

Do not trade the second strategy book until it is corrected. If you are in it, I would close all positions of the second strategy book.

[The first strategy book (“AI Actuals and Estimates Earnings Momentum Mid and Big Caps 5% VIXY”) has a ranking system that is equally weighted, I tested all the factors, and they are 100% fine! So, no worries.]

What happened?

The ML Model misinterpreted a factor and assigned it too much weight.

How to avoid stuff like this in the future —> we simply look at the feature importance and see if it is balanced.

This is the feature importance of the improved AI Factor Model:

Here are two (there are 6 altogether) corrected strategies of the second strategy book (this is unhedged, in the corrected book they will be hedged!).

I should have seen it, but I did not: This is my mistake. 100%!

I will take my time here, Quality first.

Best Regards

Andreas