Feature importance is not a trading rule
Question
A feature has the highest importance in your return model. Why does that not imply trading directly on it will be profitable?
Short answer
Importance measures how a fitted predictor uses a feature under a chosen evaluation method. It does not specify a standalone position rule, causal effect, feasible execution or net profitability. The feature may be a control, interact with other variables or proxy a costly exposure. Evaluate an explicit decision policy after costs, constraints and risk controls on independent data.
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Open the worked solutionLessons behind this question
- Decision Trees: Splitting Criteria and Pruning
- Boosting: AdaBoost and Gradient Boosting
- Sample Spaces, Events, and the Probability Axioms
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