Paired Evaluators Method to Track Concept Drift: An Application for Hedge Funds Operations

Abstract

In order to deal with sudden unexpected changes of circumstances, we propose a new forecast method based on paired evaluators, the stable evaluator and the reactive evaluator. These two evaluators are good at detecting consecutive concept drifts. We conduct a back-testing using financial data in order to demonstrate the performance of our proposing forecast method. The results of the back-testing show that our method is effective and robust even against the late-2000s recessions.