This concept https://scikit-learn.org/stable/modules/calibration.html is the missing link for models that can deliver value commercially. In financial trading, a calibrated model + a Kelly better is a trading system that can make money, an uncalibrated model burns money at best. (See the curve at the top of https://en.wikipedia.org/wiki/Kelly_criterion to realize how worthless uncalibrated predictions are)
PaulHoule•3h ago
This concept https://scikit-learn.org/stable/modules/calibration.html is the missing link for models that can deliver value commercially. In financial trading, a calibrated model + a Kelly better is a trading system that can make money, an uncalibrated model burns money at best. (See the curve at the top of https://en.wikipedia.org/wiki/Kelly_criterion to realize how worthless uncalibrated predictions are)