Practical lessons for XGBoost trading research
Use chronology before model sophistication. A sophisticated learner on contaminated splits is still contaminated.
Keep the feature set compact. More indicators mostly increase the search space in which overfitting can hide.
Ablate rather than trust importance. The only reliable test of a feature is what happens when it is removed under the same validation rule.
Do not select by TEST. Later blocks are evidence only if they were not used to choose the candidate.
Treat retraining as an experiment. A refit schedule should earn its place rather than being assumed to be adaptive.
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