Hi, thanks for posting this, I do have a question, why did you use prices instead of returns? in investing in both literature and practice we’re concerned about stock returns not the price level, because price exhibits unfavourable characteristics like serial correlation (ie open price is anchored to previous days close, which could also explain why your predicted prices looks like a moving average). Returns are assumed to be random.

Researcher | Investor | Data Scientist | Curious Observer. Thoughts and insights from the confluence of investing and machine learning.

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