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Does R-Squared for a random forest increase as the number of predictors increases? I have read over and over again that $R^{2}$ increases as you increase the number of predictors when the model is linear regression / ARIMA. Is this the case when using a random forest as a regression model for time series data?
I ask this because I am computing the out-of-sample $R^{2}$ score for a random forest trained on historical data and wondering if I should change to a different metric like MAPE.
Percent variance explained by a RF model does not automatically increase with increasing the number of predictors, in fact with a multitude of poor predictors it can even decline (as more 'bad' individual small trees are generated). Also note that RF has the independence assumption, which is violated in time-series data.
