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Much to our surprise the performance of all retrained and new models demonstrated that the original model either performed better or more or less equal to all new models when measured against the validation set (which was a week of recent data not used in the training set). As a result we felt it best to keep the current model. Therefore we did not change the model as scheduled for the 6th of June.
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Why retraining did not result in a better model (for 6th June)
There are a number of reasons why the original model performed better than all other retrained models however we believe that the this was due to the volatile market dynamics post Liddell retirement and that the market behaviour has since settled. Models that included the weeks after the retirement of Liddell are less representative of current market dynamics and now overstate forecast prices relative to actual market outcomes.
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