Ensemble

Explanation

Ensemble of Transformers trained with three different fixed seeds, plus XGBoost. The Transformer average is blended with XGBoost per horizon, weighted by the out-of-sample error measured in walk-forward.

Technical detail

The XGBoost weight is not fixed: it starts at 0.40 and moves between 0.15 and 0.85 based on its OOS quality per horizon, with a gate that caps it if its MAE is more than 10 % worse than the Transformer.

See also

• Regime
• Feature
• Accuracy
• Spearman Correlation