Results for 6th June 2023 release

Summary

The current model consumed training was trained using data up until 30th March 2023. The retraining process to update Retraining the model included a months worth of data after the retirement of Liddell. We also conducted many experiments including by changing the feature set (input variables) as well as boosting (weighting) more recent training periods.

Much to our surprise the performance metrics, 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 weeks worth week of recent data not used in the training set), demonstrated that the original model either performed better or more or less equal to all new models. As a result we felt it best to preserve the consistency afforded by keep the current model hence no update to . Therefore we did not change the model was made as scheduled for the 6th of June.

Comments on why retraining did not result in a better model

There are a number of reasons why the original model performed better than all other retrained models :

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The validation set (which is the test period used to assess performance) may have contained unexpected market outcomes, particularly contingencies in which case the validation set was not representative of “normal” market dynamics.

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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.

Retraining schedule

Retraining a model is scheduled every 2 months or after 3 or 4 weeks after a significant change in market dynamics. The current retraining schedule for both PD and P7DAY follows:

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