But really, this is the bare basic of forecasting. It is somewhat annoying to have to regurgitate all of this: Like non-leaking forecasting is impossible somehow. It would be a better discussion if everyone just assumes proper forecasting practices. Instead people seem to assume I have no clue what I am doing, discarding my technique, because I did not mention removing duplicates, scaling, proper validation techniques, ... and a 100 other things, which are of no importance to the technique itself.
If it's so easy why not to identify directly which stocks to invest in?
If you can predict which investors will perform well, then just try to predict which stocks will perform well directly.
It is not easy. Both to set-up, and the problem itself (you won't get a very high accuracy, but you will get much better than random guessing).
> If you can predict which investors will perform well, then just try to predict which stocks will perform well directly.
This won't work, because you don't have access to all the information that the stock pickers have access to, just their advice, and some features about the stock / the company the stock pickers work for.