Subscribe to RSS feed
posted on 8 Mar 2016  -  14,763 views
previous article, I introduced a model which uses fundamental data to estimate Dividend Strength, P("same or more dividends next year" | "predicted to be giving same or more dividends next year"). Numerous people have shown interest in this estimation model, therefore I decided to spend more time improving its performance.
Its performance have increased from AUC (Area Under ROC) of 0.65 to 0.7. To put it simply, its performance when pitted against random guessing has improved from
30% (0.65 / 0.5)
to 40% (0.7 / 0.5), as
random guessing would give us an AUC of 0.5.
I have also added a
new page so that its results can be conveniently viewed.
This is more for my future reference. It is totally fine to skip this section.
The improved performance is via additional features, more powerful classifier and more training data.
Additional Features: Previously, features were simply added via the permutation of what is available. This round, I added new features using my domain knowledge of what might be useful for predicting future dividends. In addition, I also ensured that all metrics in iScreener are added as features whenever possible. I also added a new type of feature (SGXKeyStatsChangeRatioFeature). In total, the number of features has increased from 884 to 1305.
More Powerful Classifier: I changed Random Forest (100) to Random Forest (1000). This increased the training time, but since I am only rebuilding this model once a week, it is still fine.
More Training Data: Previously, I built the model using ten fold cross-validation and to increase the number of training data available, I increased it to twenty fold. This increased both training and testing time (20 instead of 10 models) but again, since I am only updating once a week, it is still acceptable.
Next Article >
< Previous Article
SGXcafe Turns One! Thank You!
Do You Keep Your Extra Cash in ...
List All Articles
Other articles by evankoh
Errors in Portfolio Report
If you looked at your portfolio report these past few days, you might have noticed an unreasonable increase (typically well beyond 1000%) in your portfolio time-weighted returns, as well as a sharp increase in ES3's monthly volatility (>20%). Firstly, I am very thankful to users who took the time and effort to report this issue. Some users even went a step further to take screenshots to ensure that ...
Share Your Portfolio Selectively
Our portfolios are very personal and sensitive information. While many users have generously shared them publicly, many more are not comfortable with opening up their portfolio and share with just anyone who visits sgxcafe.com. This is totally understandable. Even I only share my portfolio partially (portfolio is displayed without exact values). Hence, I have recently added a followers/following mechanism ...
How to retire?
Many people that I know invest not to be rich, but simply hoping to be able to retire one day. Likewise, my main goal of investment is to retire. Naturally, I am curious to know how I will be able to retire. More specifically, how much do I need to invest annually? What rate of return do I need? When I can retire? To answer these questions, I decided to build a simple simulator. Basically, it assumes ...