kastor-xgb-demo-nq-ta-v1
This is an XGBoost model trained to classify 15-minute forward price movement for NQ futures.
It was optimized using Optuna and is part of the Kastor AI project.
Model Details
Algorithm: XGBoost (XGBClassifier)Data: 1-minute NQ futures OHLCV data from the mdelcristo/NQ-F_1min_OHLCV_Parquet dataset.Features: ['RSI', 'ATR', 'MACD', 'MACD_signal']Target: 15-minute forward price movement classified as Up (1), Flat (0), or Down (-1).
Training
The model was tuned with Optuna over 20 trials and trained on data up to 2023-01-01.
Evaluation Results (Test Set: 2023-Present)
precision recall f1-score supportDown (-1) 0.4003 0.2266 0.2894 359156
Flat (0) 0.1788 0.4929 0.2624 157355
Up (1) 0.4350 0.2996 0.3549 387498
macro avg 0.3380 0.3397 0.3022 904009
weighted avg 0.3766 0.3043 0.3128 904009
