Hands-On Machine Learning for Algorithmic Trading

Objectives and loss functions

The libraries support several boosting algorithms, including gradient boosting for trees and linear base learners, as well as DART for LightGBM and XGBoost. LightGBM also supports the GOSS algorithm which we described previously, as well as random forests.

The appeal of gradient boosting consists of the efficient support of arbitrary differentiable loss functions and each library offers various options for regression, classification, and ranking tasks. In addition to the chosen loss function, additional evaluation metrics can be used to monitor performance during training and cross-validation.