Do you train your Long and Short legs separately or as part of one big model? Is your experience that training them separately improves performance? Thanks.
Do you train your Long and Short legs separately or as part of one big model? Is your experience that training them separately improves performance? Thanks.
Everything is trained in a single model. I don't think it makes sense to train the legs separately... especially because, if you think, you will realize that stat arb strategies value things in relation to other things. The value is relative. So, the more "things" you provide the model, the better comparisons it will make.
In other words... there are days when the model predicts that all stocks will go down. These days, the system goes long on the stocks that it predicts will go less down, and short on the stocks that it predicts will go more down. Same happens in the other direction.
Do you train your Long and Short legs separately or as part of one big model? Is your experience that training them separately improves performance? Thanks.
Everything is trained in a single model. I don't think it makes sense to train the legs separately... especially because, if you think, you will realize that stat arb strategies value things in relation to other things. The value is relative. So, the more "things" you provide the model, the better comparisons it will make.
In other words... there are days when the model predicts that all stocks will go down. These days, the system goes long on the stocks that it predicts will go less down, and short on the stocks that it predicts will go more down. Same happens in the other direction.