I am using Microsoft Azure Machine Learning Studio to predict stock market prices. We have the variables- Index price(target-to be predicted),Low price,High price,dates and days. We use split of 0.7 and run Linear regression. We get Mean absolute error of 109. We then try to add more variables(macroeconomic factors which positively effect the index prices) which are correlated with the target variable and should improve the predictions- we find that the Mean Absolute error increases to 110.I have attached the pics for your reference. Are we interpreting wrong or what's wrong in we are doing? PS:We tried Boosted Tree regression as well-but the same problem as described above is observed. Errors
Any reason why you are using MAE instead of MSE? The reason for using MSE is that you get a parabola which would be more accurate for the optimizing algorithm to find the local minima
Did you check the relation between predictors and target variable? did you check multi collinearity?