[beagle3]

Replying to myself instead of all three replies so far:

People, prediction is a general term. Many predictors come with accuracy estimates (and outside of finance, often prediction bounds). But even if it was only one number - if you have good prediction of the expected price change, that could be sufficient to trade as it encompasses, by definition, the sun of probability of different outcomes times their magnitude.

Either E[price] or E[log price] is a single predicted value you can successfully trade with as long as you are far from your margins, and depending of course on your utility functions.

But as I mentioned, in most fields, when you talk of a “predictor”, that’s not a single number but also accuracy estimates or even a full fledged probability distribution of future events.

[jarym]

Right, but that's not what this article (and several others I've seen) are doing - they are measuring the performance of some AI by putting on some unnecessary (and quite likely impossible) constraints on what it is supposed to be outputting.

All I'm pointing out is that measuring any stock trading algo by treating it as a regression problem for the exact next time step is a naive approach - that's not the same thing as what human traders are doing.

Anyway, if you are trading then I wish you lots of success.