There are three main hyperparameters for signal construction
- moving average of $x_{i,t}$ taking average of the last
m realizations (current choice m = 3)
-
$\tau$'s quantile of $\bar{x}_{i,t}^{m}$ (current choice $\tau$=0.25)
- take quantile based on the last
$\ell$ realizations (current choice $\ell$=Inf)
There are three main hyperparameters for signal construction
mrealizations (current choicem= 3)$\tau$'s quantile of$\tau$=0.25)$\ell$realizations (current choice$\ell$=Inf)