Part 1: Market Prediction
Data processing pipeline and model training for predicting Y1 and Y2 from hidden market variables.
Key Techniques
| Technique |
Purpose |
| Fourier Features |
Capture seasonality patterns |
| Rolling Windows |
Track mean, std, z-score |
| SHAP Analysis |
Feature importance with XGBoost |
| TimeSeriesSplit |
Cross-validation for time series |
Part 2: Basketball Trading
See Algorithm for full implementation:
| Function |
Purpose |
kelly_fraction |
Calculate optimal capital allocation |
mc_winprob |
Monte-Carlo win probability simulation |
suggest_trade |
Trade decisions with market/model blending |