Subscribe to RSS feed
posted on 8 Mar 2016  -  5,073 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
Open Invitation to Financial Bloggers and Quick Feature Updates
As StocksCafe is currently expanding beyond Singapore to other markets in Asia, I am now looking to feature financial bloggers from around Asia. If you are a financial blogger or if you know of any financial blogger that writes about stocks or financial related topics focusing on Asia, please let me know either via private messaging or by simply commenting on this article. In other updates, I would ...
Win Free Tickets to BigFatPurse Investor Conference 2016
Each year, BigFatPurse organises a gathering for investors to check on their current year's performance and to get new investing ideas for the upcoming year. It used to be opened only to their members. As more people heard about their gathering, they received more requests to open it up to the public. And this year, they have finally opened it. With a star-studded speaker line up made up of fund managers ...
Download SGXcafe iOS App Now!
Yes, SGXcafe finally has an app! According to Google Analytics, about 40% of visitors use mobile devices to access SGXcafe. Naturally, there have been numerous requests for SGXcafe to have a mobile app. Personally, I also wanted a mobile app for SGXcafe to better serve users, but I know nothing about iOS and Andriod development hence I have been procrastinating it. However, "iOS Universal App" is one ...