Forecast accuracy is not a trading claim
Forecast error, ranking quality and portfolio return are three targets with three different baselines.
- Topic
- Financial ML
- Analysis
- Sep 2026
- Status
- Working note
- Related
- Kronos evaluation
A lower prediction error does not automatically become a better signal, and a signal does not automatically become a profitable portfolio. Each step changes the target, the baseline and the relevant friction.
My Kronos evaluation follows that chain. In a five-path CSI300 run of the public Kronos-small checkpoint, the ranking signal was not statistically significant (Newey–West p = 0.295), and the portfolio result moved from +6.01% to +1.93% a year when ten forecast paths were averaged instead of five. A single headline number would have hidden both facts.