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Dr Ernie Chan Answers to rank or weight a long or short of out this market sector according to Yahoo Finance

Dr Ernie Chan Answers to rank or weight a long or short of out this market sector according to Yahoo Finance

Question was asked at:

https://quantlabs.net/blog/2015/01/how-would-rank-or-weight-a-long-or-short-of-out-this-market-sector-according-to-yahoo-finance/

His answer was:

Hi Bryan,
There are various methods of including a subset of predictive
variables for returns prediction.
You can try stepwise regression, which picks successively the most
predictive variable in a linear regression, and stops when an
additional variable does improve R^2.
You can also try a regression tree, with a similar principle.
Both are available from Matlab Statistics toolbox.
Hope this helps!
Best,
Ernie

We won’t know a priori which piece of information is important, and what weight it should have.

 

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