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