Backtesting - Decile Testing and Monotonocity - Part II

So now that we understand decile testing and monotonicity, we can run this on ALL features to see how they look.... 

And THIS is why the back-test was using "just" lag_ret_20d instead of the model predictions.

So the Macro features - just adding unnecessary noise, and no value!?

Is the News Sentiment adding any value at all? Maybe, they're ranked #4 and #8, but we would need to try to combine them to see if they add any value at all. Keep in mind also, that the residual (finbert_signed_resid) ferrets out "true" sentiment from momentum (as discussed in an earlier blog post).

And - if you combine them, in what ratio for them to make an optimal combination? Should we combine just two? Or more?

You can see where this can go. You almost need a permutational approach.