├── Chapter 02 - Financial Data Structures.ipynb ├── Chapter 03 - Meta-Labeling.ipynb ├── Chapter 04 - Sample Weights.ipynb ├── Chapter 05 - Fractionally Differentiated Features.ipynb ├── Chapter 06 - Ensemble Methods.ipynb ├── Chapter 07 - Cross-Validation in Finance.ipynb ├── Chapter 08 - Feature Importance.ipynb ├── Chapter 09 - Hyper-Parameter Tuning with Cross-Validation.ipynb ├── Chapter 10 - Bet Sizing.ipynb ├── Chapter 11 - The Dangers of Backtesting.ipynb ├── Chapter 12 - Backtesting through Cross-Validation.ipynb ├── Chapter 13 - Backtesting on Synthetic Data.ipynb ├── Chapter 14 - Backtest Statistics.ipynb ├── Chapter 15 - Understanding Strategy Risk.ipynb ├── Chapter 16 - Machine Learning Asset Allocation.ipynb ├── README.md ├── active_signals.py ├── cla_mlf.py ├── cv.py ├── feature_imp.py ├── feature_importances_mp.py ├── filters.py ├── hrp_mlf.py ├── images ├── mda_feat_imp.png ├── mda_feat_imp_8.1.png ├── mda_feat_imp_8.1c.png ├── mda_feat_imp_8.2a.png ├── 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sfi_feat_imp_8.5_4.png └── sfi_feat_imp_8.5_5.png ├── img ├── MDA_feat_imp_8.1c.png ├── MDA_feat_imp_8.1c2.png ├── MDA_feat_imp_8.2a.png ├── MDA_feat_imp_8.3b.png ├── MDA_feat_imp_8.4c_10chunks.png ├── MDA_feat_imp_8.4c_1chunk.png ├── MDI_feat_imp_8.1c.png ├── MDI_feat_imp_8.1c2.png ├── MDI_feat_imp_8.2a.png ├── MDI_feat_imp_8.3b.png ├── MDI_feat_imp_8.4c_10chunks.png ├── MDI_feat_imp_8.4c_1chunk.png ├── MDI_feat_imp_8.5_1.png ├── MDI_feat_imp_8.5_1_2.png ├── MDI_feat_imp_8.5_2.png ├── MDI_feat_imp_8.5_3.png ├── MDI_feat_imp_8.5_4.png ├── MDI_feat_imp_8.5_5.png ├── SFI_feat_imp_8.1c.png ├── SFI_feat_imp_8.1c2.png ├── SFI_feat_imp_8.2a.png ├── SFI_feat_imp_8.3b.png ├── SFI_feat_imp_8.4c_10chunks.png └── SFI_feat_imp_8.4c_1chunk.png ├── labeling.py ├── load_data.py ├── load_data_orig.py ├── mean_variance_mlf.py ├── multiprocess.py ├── sampling.py ├── stats.py ├── synthetic_data.py ├── testFunc ├── 81c_mda.png ├── 81c_mdi.png ├── 81c_sfi.png ├── 82b_mda.png ├── 82b_mdi.png ├── 82b_sfi.png 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