jvj, You are obviously well informed and I appreciate your input. I think (hope) I did not say anything much different in my last post that expanded on my uncertainty about metrics. Well said.
I would like to take this opportunity to mention to the forum a metric and a target are different. For example you could target excess returns and still be most interested in the alpha produced by your model which would be a metric in this example. I link to Marco and a member here who are discussing Alpha as a target. Alpha is a great metric. But is it a good target for an individual stock? Is next week’s predicted Alpha for a single ticker helpful or even meaningful as a target? AI Factors - ETA SOON! (beta release) - #13 by marco
Thank you for adding to this discussion. And again I am not sure I will even look at Sklearn metrics. Maybe the Alpha of the model produced (which will probably be provided by P123 in a sim of the model) would be a good metric for me to look at.
Jim