Z-Score

Explanation

Statistical normalization: (value − mean) / std dev. Cross-sectional z-score compares assets to each other.

Technical detail

The training target is a cross-sectional z-score per date: it measures whether an asset does better or worse than its peers that day, not whether the market rises. That is why the model ranks well but does not predict level.

See also

• Feature
• Tactical Allocation
• Ensemble
• Prediction Horizon