Machine Learning in Trading Strategy Design › Key Parameters
Michael BrenndoerferJanuary 3, 20261 min read
Quantitative FinanceAll chapters Part 13 of 15Machine Learning and Alternative Data
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The key parameters for integrating alternative data are:
- Lookback Window: The period used for calculating trends and z-scores (e.g., 21 days). This should match the frequency of the alternative data.
- Lag: The time delay applied to align data series. Correctly aligning leading alternative data with lagging market data is critical for extracting alpha.
- n_estimators: The number of trees in the Random Forest. Sufficient trees are needed to capture interactions between alternative and traditional features.