Here, we present the model's performance in predicting the bitcoin price along with their hyper-parameters. For more details on the model, see here.
| DATE | CLOSE |
|---|---|
| 2024-12-18 | 98,800.52 |
| 2024-12-25 | 99,752.73 |
| 2025-01-01 | 101,679.98 |
| 2025-01-08 | 106,044.06 |
For scoring, Root Mean Squared Error was used.
| D+7 | D+14 | D+21 | D+28 |
|---|---|---|---|
| 1,487.66 | 1,105.21 | 981.10 | 2,804.41 |
| D+7 | D+14 | D+21 | D+28 |
|---|---|---|---|
| 3,479.37 | 3,640.07 | 5,029.37 | 2,601.17 |
Below are choices made for the model setup.
(Determined by Forward Selection and heuristically based on the model's assumptions)
| param | description | value |
|---|---|---|
| include_indices | Whether to include market indices. | False |
| include_commodities | Whether to include commodities. | True |
| include_currencies | Whether to include currencies. | False |
(Determined by Grid Search)
| param | description | value |
|---|---|---|
| ohlc_ratio | Whether to add OHLC ratios of bitcoin price to the data. | False |
| lags | List of lags to use. None, if no lags are used. | None |
(Determined by heuristically, considering the model's assumptions)
| param | description | value |
|---|---|---|
| log | Whether to take the log of the data. | False |
| diff | Whether to difference the data. | False |
| normalize | Whether to normalize the data. | False |
(Determined by Grid Search)
| param | description | value |
|---|---|---|
| num_leaves | The number of leaves in the tree. A smaller number of leaves may reduce overfitting. | 20 |
| max_depth | The maximum depth of the tree. A negative value means no limit. | -1 |
| min_data_in_leaf | The minimum number of data points required in a leaf. This is a regularization parameter. | 5 |
| num_boost_round | The number of boosting rounds, or the number of trees in the ensemble. | 1 |