[anjc]

That's great. Do you use any other baselines, e.g. random daily positions? I'm guessing that your method soundly beat the 'buy and hold' baseline over the last 5 months.

Have you done any work on trying to predict breakouts or crashes? I often think how uncanny it is to compare market movements to simply the number of comments on Reddit threads, or numbers of tweets. I don't know if these are leading or lagging indicators though.

[adjkant]

No other baselines (I'm only going for practical not theoretical or publishing so no need really).

Just market features but I'm sure other features are out there. At the minutes level, predicting crashes doesn't do much good as often crashes have ideal 1 hour buying windows so the macro crash/spikes don't really matter, and if they did, would be caputed by the model still.