🤖 ML Models
ML - Calibration and ECE
Calibration measures whether a model's confidence scores are **honest**. If your model says "80% confidence this trade will profit," does it actually profit 80% of the time? ECE quantifies how far off the calibration is.
2
Minutes
5
Concepts
+15+30
Read+Quiz
1
Why It Matters for Trading
- Quant - Kelly Criterion uses confidence to size positions: P(win) = confidence
- If confidence is inflated, Kelly bets too big -> blown account
- If confidence is deflated, Kelly bets too small -> missed profits
- Signal Forge applies a 50% Kelly discount when ECE >= 0.10 (uncalibrated)