State of completion - Githubissues

doda / advances-in-financial-ml-notes

239 stars 83 forks source link

State of completion #1

Open doda opened 5 years ago

doda commented 5 years ago

Begun or Done

[ ] [3/5] Chapter 2 - Financial Data Structures
[x] [5/5] Chapter 3 - Meta-Labeling
[x] [7/7] Chapter 4 - Sample Weights
[ ] [5/6] Chapter 5 - Fractionally Differentiated Features
[x] [5/5] Chapter 6 - Ensemble Methods
[x] [5/5] Chapter 7 - Cross-Validation in Finance
[x] [5/5] Chapter 8 - Feature Importance
[x] [6/6] Chapter 9 - Hyper-Parameter Tuning with Cross-Validation
[ ] [4/7] Chapter 10 - Bet Sizing
[x] [5/5] Chapter 11 - The Dangers of Backtesting
[x] [5/5] Chapter 12 - Backtesting through Cross-Validation
[ ] [2/6] Chapter 13 - Backtesting on Synthetic Data
[x] [7/7] Chapter 14 - Backtest Statistics
[ ] [4/6] Chapter 15 - Understanding Strategy Risk
[ ] [3/5] Chapter 16 - Machine Learning Asset Allocation

Open

[ ] [0/5] Chapter 17 - Structural Breaks
[ ] [0/5] Chapter 18 - Entropy Features
[ ] [0/12] Chapter 19 - Microstructural Effects
[ ] [0/6] Chapter 20 - Multiprocessing and Vectorization

doda commented 5 years ago

Specifically:

[ ] Ch2 Implement full ETF trick
[ ] Ch2 Use real EURUSD data
[ ] Ch13 Fit to O-U process

doda commented 4 years ago

Bugs:

[ ] Ch3 Use proper model validation
[ ] Ch2 Dollar bars reasoning
[x] Backtesting methodology reasoning (CPCV understanding)