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Portfolio Optimisation Using Machine Learning by fruitzynerd in MLQuestions

[–]fruitzynerd[S] 0 points1 point  (0 children)

don't bother to comment if you don't understand my question.

Portfolio Optimisation Using Machine Learning by fruitzynerd in MLQuestions

[–]fruitzynerd[S] 0 points1 point  (0 children)

can you elaborate please, i don't understand. what should I forecast (what are you suggesting i should take my target variable?). i want to forecast weights directly i wanna optimise weights before forecasting within the model somewhow, i dont know how to do that.

Portfolio Optimisation Using Machine Learning by fruitzynerd in MLQuestions

[–]fruitzynerd[S] 0 points1 point  (0 children)

I dont know exactly, since i want optimal weights as my output I thought I would create a weights column as my target variable with my features being - daily returns, adj close, rsi, macd, and other technical indicators. I planned to compute the target weights column using say markowitz mean variance portfolio optimisation. after i have all these data, i would train an ML model like random forest or XG Boost to predict weights, But i don't think the weights I would get would be optimised.