Advanced level · Module 6: Machine Learning Capstone · Lesson 2 of 5
Data, Baselines and Backtesting
Prepare the price data, build baselines and set up a backtesting framework.
In this lesson you will
- Prepare multi-market price data
- Set up backtesting with baselines
Key concepts
data preparationbaselinesbacktesting frameworkper-market reporting
The lesson
Clean and regularise the series for each market, documenting gaps and how they were handled.
Implement naive and seasonal-naive baselines and a backtesting framework that reports errors per market and horizon.
These baselines set the bar the capstone model must beat.
Step by step
- Prepare the series for each market.
- Implement the baselines.
- Build the backtesting framework.
- Report baseline errors per market.
Practice activity
Complete milestone 2: prepared data and baseline backtests.
Expected result: Reproducible baseline results per market.
Check your understanding
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Why establish baselines first?
Show answer
They define the minimum performance a model must beat to be useful.
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Why report per market?
Show answer
Performance can differ greatly between markets.
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