backtest_statistics
Portfolio Construction and Risk
Performance diagnostics for strategy returns and position trajectories.
Module Pages
One documentation page per module with purpose, formulas, key APIs, and implementation examples.
bet_sizing
Position Sizing and Trade Construction
Transforms model confidence and constraints into executable position sizes.
cla
Portfolio Construction and Risk
Critical Line Algorithm implementation for constrained mean-variance optimization.
codependence
Market Microstructure, Dependence and Regime Detection
Dependence metrics beyond linear correlation for feature and asset relationships.
cross_validation
Sampling, Validation and ML Diagnostics
Purged cross-validation utilities designed for label overlap and leakage control.
data_structures
Event-Driven Data and Labeling
Constructs standard/time/run/imbalance bars from trade streams.
ef3m
Sampling, Validation and ML Diagnostics
Moment-based mixture fitting utilities for two-normal components.
etf_trick
Position Sizing and Trade Construction
Synthetic ETF and futures roll utilities for realistic PnL path construction.
feature_importance
Sampling, Validation and ML Diagnostics
Feature ranking methods: MDI, MDA, and single-feature importance with PCA diagnostics.
filters
Event-Driven Data and Labeling
CUSUM and z-score event filters for event-driven sampling.
fingerprint
Sampling, Validation and ML Diagnostics
Model fingerprinting for linear, non-linear, and pairwise feature effects.
fracdiff
Market Microstructure, Dependence and Regime Detection
Fractional differentiation to improve stationarity while retaining memory.
hcaa
Portfolio Construction and Risk
Hierarchical Clustering Asset Allocation variant with cluster-level constraints.
hrp
Portfolio Construction and Risk
Hierarchical Risk Parity allocation with recursive bisection.
labeling
Event-Driven Data and Labeling
Triple-barrier event labeling and metadata generation.
microstructural_features
Market Microstructure, Dependence and Regime Detection
Price-impact, spread, entropy, and flow toxicity estimators.
onc
Portfolio Construction and Risk
Optimal Number of Clusters utilities for clustering stability and allocation workflows.
portfolio_optimization
Portfolio Construction and Risk
Mean-variance and constrained allocation methods with ergonomic APIs.
risk_metrics
Portfolio Construction and Risk
Portfolio and return-distribution risk measures for downside control.
sample_weights
Event-Driven Data and Labeling
Sample weighting utilities for overlapping event structure.
sampling
Sampling, Validation and ML Diagnostics
Indicator matrix and sequential bootstrap tooling.
sb_bagging
Sampling, Validation and ML Diagnostics
Sequentially bootstrapped bagging classifiers/regressors.
structural_breaks
Market Microstructure, Dependence and Regime Detection
Regime change and bubble diagnostics (Chow, CUSUM variants, SADF).
util::fast_ewma
Market Microstructure, Dependence and Regime Detection
Fast EWMA primitive shared across feature and volatility routines.
util::volatility
Market Microstructure, Dependence and Regime Detection
Volatility estimators used across labeling and risk workflows.