EDUCATION & TRAINING
How to Brier-grade your own ML option-pricing forecasts in 40 lines of Python
Dev.to Machine Learning
About This Tutorial
If you ship a probabilistic forecast, the single highest-value habit you can build is logging your forecasts so you can grade them later. Sabermetrics figured this out forty years ago. Weather forecasting has done it for a century. Most ML model owners still do not do it. This post walks through a 40-line Python recipe that logs an ML option-pricing model's per-contract probability-ITM forecast to a CSV, so you can compute the Brier loss after the option expires.