[sgt101]

I worry about retraining every day. Isn't that a flag that says "It hasn't learned a thing and actually I'm just improving my backfitting score"?

[wenc]

Not really -- in many forecasting applications in fast-changing markets, it is fairly common to dynamically retrain your recursive model to a moving window of historical data in order to adapt to your current environment (with some regularization). The length of the window depends on how fast the market changes.

For these types of recursive model applications, you cannot just fit the model once and forget about it.

[somurzakov]

as long as it works well on out of sample data at deployment time, it is okay.

Until some major data drift happens, but you would notoce it anyways

[sgt101]

Honestly, I've heard people in Vegas tell me the same about their strategies vs. slots. Genuinely, if you have made money from this - well done, take it out now, congratulate yourself. If you haven't...