Should we optimize parameter "N" from N-day-ahead stock returns?

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Should we optimize parameter "N" from N-day-ahead stock returns?

posted Jan 28, 2020

Hi Pros,

When we form our stock prediction question as a classification model to predict stock to go up or down in the future, the target variable Y can be set as N-day-ahead stock returns e.g. one-day-ahead stock returns or 30-day-ahead stock returns.

we set Y as one-day-ahead returns for a short-term prediction and set it as one-month-ahead returns for a long-term prediction.

So when it comes to yield a better prediction accuracy, should we optimize this parameter "N" by trying say 1 day, 5 days, 10 days, 15 days, 30 days..etc.. to see which value n yield the best accuracy?

Or is it not appropriate to have a comparison this way because it is not an apple to apple comparison?

Thank you for your answer in advance

Regards,
Kelvin

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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.