Introduction To Labeling


In this module we have implemented both the commonly used as well as a couple of interesting techniques for labeling financial data.

We reviewed over 40 papers searching for unique contributions and we can safely say that the implementations that follow cover 90% of the techniques, those not included are often derivatives.

Tip

The vast majority of our users make use of the following (in a classification setting):

  • Fixed Horizon

  • Triple-Barrier + Meta-labeling

  • Trend Scanning

The following 10 techniques are available:

  1. Raw Returns

  2. Fixed Horizon

  3. Excess of Mean

  4. Excess of Median

  5. Return vs Benchmark

  6. Bull Bear States

  7. Matrix Flags

  8. Tail Sets

  9. Trend Scanning

  10. Triple-Barrier & Meta-Labeling

Presentation Slides

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References