nkonts / barrier-method
An expansion of the Triple-Barrier Method by Marcos López de Prado
☆33Updated last year
Alternatives and similar repositories for barrier-method:
Users that are interested in barrier-method are comparing it to the libraries listed below
- A financial trading method using machine learning.☆60Updated 2 years ago
- ☆39Updated 4 years ago
- ☆49Updated 4 years ago
- Notebooks based on financial machine learning.☆50Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆13Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆29Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- ☆19Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Implementation of AFML Book☆21Updated 5 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆49Updated 3 years ago
- Various python scripts to introduce mean reversion concepts.☆22Updated 6 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆61Updated last year
- ☆18Updated 8 years ago
- Backtest result archive for Momentum Trading Strategies☆52Updated 6 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆75Updated last year
- Package to build risk model for factor pricing model☆24Updated 8 months ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- Pair Trading Strategy using Machine Learning written in Python☆116Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated 11 months ago
- detecting regime of financial market☆36Updated 2 years ago
- Exercises in 'Advances in Financial Machine Learning' by Lopez de Prado☆3Updated 2 years ago
- public version of MLFINLAB from Hudson-Thames☆23Updated 3 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆20Updated 3 months ago
- ☆24Updated 6 years ago
- stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.☆36Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Custom Loss functions for asset return prediction with deep learning regression☆34Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago