[Bug, Sim] RegrLinearRidge has wonky prediction errors

[trentmc]

Summary of problem

Check out the residuals (prediction errors) from this sim run. It's on BTC, RegrLinearRidge, transform=None. Residuals should have average=0. Obviously they don't.

Classifier run

I did a run on latest codebase (Jun 21, 9.00am) with default ppss.yaml settings except:

• lake_ss.st_timestr: 180 days ago
• aimodel_data_ss.max_n_train: 1500
• aimodel_data_ss.autoregressive_n: 6
• (default approach: ClassifLinearRidge)
• Setup file: ppss.yaml

And the results look sane. Predictoor bots made 3115.63 OCEAN profit.

Regressor run

Then I ran with exactly the same settings except:

• approach: RegrLinearRidge

It did horrible. Profit = -18442.56 OCEAN. Profit vs time is almost fully-down (image 1). And the residuals plot had values in the billions, wtf (image 2). (Residuals = prediction errors). Though the regressor's response vs time was sane (image 3). I will look into this

Profit vs time

Residuals plot -- the main symptom is here. See plot at very top of this issue.

Regressor response vs time

[trentmc]

export SHOW_PLOTS=True
pdr_backend/aimodel/test/test_aimodel_prices.py::test_aimodel_prices_dynamic[RelDiff] -s

Runs a test designed explicitly to see wonky residuals.

Gives the following plot. Residuals look sane here. (But still not sane on sim. Must dig deeper)