Movement Score (MS)
Motivation
Once we obtain the value returned from the model, the most crucial aspect is the accuracy of the predicted direction. In the financial market, having the correct prediction regarding price movement allows us to capitalize on that information and generate profits.
The Movement Score is specifically designed to assess the movement prediction provided by the user's models. It evaluates the accuracy and reliability of these predictions, providing a measure of how well the models can anticipate and capture price movements in the market.
Computation process
It is important to note that the label is normalized, requiring us to perform a denormalization step to obtain the original label value.
Subsequently, we proceed to calculate the return rate of the price from the label.
After obtaining the return rate of the price, we can then evaluate the accuracy of your movement prediction.
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