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Getting Started

  • Installation
  • Video Lectures
  • Text Books
  • QuantConnect
  • Special Mention: Prof M Lopez de Prado

API Reference

  • mlfinlab
    • Subpackages
      • mlfinlab.backtest_statistics
        • Submodules
      • mlfinlab.bet_sizing
      • mlfinlab.clustering
      • mlfinlab.codependence
      • mlfinlab.cross_validation
      • mlfinlab.data_generation
      • mlfinlab.data_structures
      • mlfinlab.datasets
      • mlfinlab.ensemble
      • mlfinlab.feature_importance
      • mlfinlab.features
      • mlfinlab.filters
      • mlfinlab.labeling
      • mlfinlab.microstructural_features
      • mlfinlab.multi_product
      • mlfinlab.networks
      • mlfinlab.online_data_structures
      • mlfinlab.regression
      • mlfinlab.sample_weights
      • mlfinlab.sampling
      • mlfinlab.structural_breaks
      • mlfinlab.util

Backtest Overfitting Tools

  • 7 Reasons Most ML Funds Fail
  • 7 Point Backtesting Protocol
  • Backtest Statistics

Data Structures

  • Data Preparation Tutorial
  • Single Futures Roll
  • Standard Bars
  • Imbalance Bars
  • Run Bars
  • Online Data Structures

Labeling

  • Introduction To Labeling
  • Triple-Barrier
  • Meta-Labeling
  • Trend Scanning
  • Raw Returns
  • Fixed Horizon
  • Excess Over Mean
  • Excess Over Median
  • Return Versus Benchmark
  • Bull Bear States
  • Matrix Flags
  • Tail Sets

Sampling

  • Introduction to Sampling
  • Sample Uniqueness
  • Sequential Bootstrapping
  • Sample Weights

Feature Engineering

  • Fractionally Differentiated Features
  • Structural Breaks
  • Filters
  • Volatility Estimators
  • Noise Reduction
  • Directional Change

Microstructural Features

  • First Generation Models
  • Second Generation Models
  • Third Generation Models
  • Entropy Measures
  • Message Encoding

Models

  • Sequentially Bootstrapped Ensembles
  • History Weighted Regression

Clustering

  • Optimal Number of Clusters (ONC)
  • Hierarchical Clustering

Cross-Validation

  • Purged and Embargo
  • Combinatorial Purged CV (CPCV)

Feature Importance

  • Model Fingerprint Algorithm
  • MDI, MDA, and SFI
  • Clustered MDA and MDI
  • Shapley Values
  • Feature Clustering
  • PCA Features and Analysis

Bet Sizing

  • Bet Sizing in ML
  • Exact Fit using first 3 Moments (EF3M)
  • Kelly Criterion

Synthetic Data Generation

  • Introduction
  • CorrGAN
  • Vine and Extended Onion Methods
  • Correlated Random Walks
  • Hierarchical Correlation Block Model (HCBM)
  • Bootstrapping
  • Data Verification

Networks

  • Introduction
  • Minimum Spanning Tree (MST)
  • Average Linkage Minimum Spanning Tree (ALMST)
  • Planar Maximally Filtered Graph (PMFG)
  • Visualising Graphs
  • Dash Network Visualisations

Measures of Codependence

  • Introduction
  • Correlation-Based Metrics
  • Information Theory Metrics
  • Copula-Based Metrics
  • Optimal Transport
  • Codependence Matrix

Additional Resources

  • Research Tools
  • Sample Datasets
  • Barriers to Entry

Developer Guide

  • Documentation for Debugging
  • Changelog
mlfinlab

mlfinlab.backtest_statistics

Implements general backtest statistics.

Submodules

  • mlfinlab.backtest_statistics.backtests
  • mlfinlab.backtest_statistics.statistics
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