Knowledge library

This notebook compares gradient boosting objectives on monthly US stock returns while holding features, target, and walk-forward folds fixed. It contrasts squared error with absolute error and Huber loss, which reduces the influence of large residuals. The…

This analysis explains how to read cross-sectional information coefficients (ICs) for CME futures models and how they relate to later portfolio tests. It computes each date’s rank correlation between predicted and realized returns, then averages those…

This notebook assesses whether historical ETF data can support a monthly ranking strategy before any model or forecast is built. It checks point-in-time eligibility using prior-year liquidity, counts available funds on rebalance dates, converts per-share…

The document explains how the Deflated Sharpe Ratio (DSR) adjusts a selected strategy’s Sharpe for the number of strategies tested, variation across their Sharpe estimates, and non-normal return distributions. It contrasts this with an uncorrected…

This notebook screens candidate features for a strategy that sells at-the-money call and put options on the same stock with the same expiry, holding the straddle to expiration. For each feature, it measures whether the feature ranks available names in the…

This notebook compares BM25 keyword search, dense embeddings, reciprocal rank fusion (RRF), and cross-encoder reranking on passages from company 10-K filings. It builds each retrieval approach and assesses ranked results for exact, conceptual, and mixed…

This notebook compares LightGBM models on a US equities panel across three return horizons. Its grid varies tree leaf counts and loss functions, then scores each configuration at multiple tree-count checkpoints. The discussion explains how shallow trees can…

This notebook processes the SEC’s quarterly bulk 13F holdings data to study institutional ownership, manager rankings, and co-ownership networks. It selects the latest filing per manager using filing dates, aggregates securities by CUSIP rather than issuer…

This notebook evaluates validation predictions derived from equity and options research by translating them into long-only equity portfolios. It uses an equal-weight top-K baseline, compares several portfolio concentrations, and follows the label-specific…

This notebook builds forward return labels for short at-the-money straddles on S&P 500 stocks. Because the daily 30-day straddle panel rolls to a different strike or expiration each session, a shifted price series would compare different contracts. Instead,…

This notebook uses NASDAQ ITCH-derived trades and order messages to illustrate market microstructure patterns. It examines negative first-order autocorrelation in tick-level trade-price returns, explaining how alternating trades at the bid and ask can create…

This utility module provides statistical helpers for diagnosing trading-data panels. Its autocorrelation method computes a curve within each entity before pooling results across entities, avoiding spurious dependence between the end of one entity’s series…

This US equities case study distinguishes predicting future returns from claiming that momentum causes them. It treats a stock’s prior-year return excluding the latest month as the treatment, forward return as the outcome, and recent volatility, illiquidity…

This teaching notebook compares target-label methods for supervised trading models using ETF data. It covers fixed-horizon returns and direction labels, rolling time-series percentiles, cross-sectional percentiles, triple-barrier labels with fixed or…

This notebook demonstrates checks for lookahead bias using ETF prices and macroeconomic series. It shows that a centered moving average includes future observations, can track price turns too closely, and has a missing recent tail because its future inputs…

This exploratory analysis profiles a four-hour OANDA panel of 20 currency pairs and explains how to interpret its data. It distinguishes direct, indirect, and cross pairs by the dollar’s position, showing why direct quotes must be inverted before combining…

This shared modeling module supports quantitative research workflows by loading features, labels, temporal data, and configuration, then preparing walk-forward cross-validation folds. Its design emphasizes reproducibility and data lineage: hashes capture…

This notebook shows how to turn quarterly SEC 10-Q Management’s Discussion and Analysis text into two candidate equity signals. FinBERT scores text chunks for positive, neutral, or negative tone; chunk scores are aggregated into average sentiment and…

This notebook compares three ways to use market regimes in forecasting: a baseline model without a regime input, a single model given the filtered probability of a volatile state, and separate models trained within hard regime assignments. To avoid…

This notebook expands an ETF feature evaluation from a single return horizon to a scan across ten features and three horizons, correcting for multiple tests. It then applies mechanism-based diagnostics to long-lookback 12-1 momentum and short-term reversal:…

This notebook estimates whether buyer-initiated signed volume share is associated with future 15-minute returns after accounting for relative spread, recent realized volatility, and trailing monthly return. Double machine learning predicts the outcome and…

This notebook uses Double Machine Learning (DML) to estimate the adjusted effect of a continuous ETF momentum measure on subsequent returns, controlling for recent and longer-term volatility, market regime, and yield-curve slope. It compares unadjusted…

This notebook assesses registered ETF backtests across the strategy pipeline, from signals and allocation through costs and risk overlays. It reads existing predictions and backtests rather than fitting models or adding new backtests, while deriving cohort…

This notebook sets up an LSTM forecasting run for an FX-pairs case study. The model carries a hidden state through a lookback sequence, and the notebook resolves architecture and training settings through the shared configuration and study-planning tools. It…