├── .gitignore ├── LICENSE.md ├── LIME └── data │ ├── constituents.csv │ └── constituents_sp500.csv ├── README.md ├── imgs ├── MDD.pdf ├── MDD.png ├── MSE.pdf ├── MSE.png ├── annual_returns.pdf └── annual_returns.png ├── requirements.txt ├── src ├── __init__.py ├── all_results.csv ├── config.py ├── feature_selection │ ├── Wasserstein_importance_selector.py │ ├── __init__.py │ ├── feature_selector_base.py │ ├── jensen_shannon.py │ ├── lime_feature_importance_selector.py │ ├── permutation_importance_selector.py │ ├── rf_feature_importance_selector.py │ └── wasserstein_distance.py ├── feature_selection_threshold.py ├── get_model_input.py ├── main.py ├── metrics.py ├── models.py ├── performance_visualization.ipynb ├── statarbregression.py ├── ta │ ├── __init__.py │ ├── momentum.py │ ├── others.py │ ├── trend.py │ ├── utils.py │ ├── volatility.py │ ├── volume.py │ └── wrapper.py ├── utils.py ├── visualization_notebook.ipynb └── walkforward.py └── test ├── __init__.py ├── 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