Hands-On Machine Learning for Algorithmic Trading

How to use XGBoost, LightGBM, and CatBoost

XGBoost, LightGBM, and CatBoost offer interfaces for multiple languages, including Python, and have both a sklearn interface that is compatible with other sklearn features, such as GridSearchCV and their own methods to train and predict gradient boosting models. The gbm_baseline.ipynb notebook illustrates the use of the sklearn interface for each implementation. The library methods are often better documented and are also easy to use, so we'll use them to illustrate the use of these models.

The process entails the creation of library-specific data formats, the tuning of various hyperparameters, and the evaluation of results that we will describe in the following sections. The accompanying notebook ...