Enhancing black-box models for trading strategy selection presents complex challenges. Traditional metrics like RMSE often mislead due to sensitivity to scale and lack of comparability across regression targets. Mutual Information (MI) offers a more robust alternative. Its nonparametric nature and unitless measurement provide a consistent comparison across targets, helping identify the most informative strategies.

Empirical results demonstrate MI's superiority. Models predicting changes in the Stochastic oscillator show marked improvements, reflecting market width better than others. Visual analysis through scatterplots and bar plots further validate these findings, reinforcing MI's reliability.

In application, a neural network model, backed by ONNX, enables real-time strategy execution in MQL5, leveraging newfound insights for improved decision-ma...

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