[artK]

Originally Posted by Caleb Sykes

I chose the parameters I did based on what was the most predictive. I would have expected the mean reversion to be stronger, but 20% seemed to work the best. Here are the Brier scores for 2012-2014 for various mean reversion parameters.

What about the Brier score for longer windows? Between 2012 and 2014, the mean only reverts twice, and the relative error (|a-b|/|b|) between the Brier scores for different parameters is less than .1 in even the most extreme cases. With more reversions, that parameter should effect the accuracy more extremely, giving a better parameter estimate.