Merge branch 'master' into labeling-fixed-time-horizon

firmai · May 21, 2020 · a072df2 · a072df2
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diff --git a/...istics/Chapter14_BacktestStatistics.ipynb → ...istics/Chapter14_BacktestStatistics.ipynb b/...istics/Chapter14_BacktestStatistics.ipynb → ...istics/Chapter14_BacktestStatistics.ipynb
diff --git a/...er10/Chapter10_Exercises (mlfinlab).ipynb → ...zing/Chapter10_Exercises (mlfinlab).ipynb b/...er10/Chapter10_Exercises (mlfinlab).ipynb → ...zing/Chapter10_Exercises (mlfinlab).ipynb
diff --git a/Chapter10/Chapter10_Exercises.ipynb → ...ning/Bet Sizing/Chapter10_Exercises.ipynb b/Chapter10/Chapter10_Exercises.ipynb → ...ning/Bet Sizing/Chapter10_Exercises.ipynb
diff --git a/Chapter10/EF3M/__init__.py → ...hine Learning/Bet Sizing/EF3M/__init__.py b/Chapter10/EF3M/__init__.py → ...hine Learning/Bet Sizing/EF3M/__init__.py
diff --git a/Chapter10/EF3M/ef3m.py → ... Machine Learning/Bet Sizing/EF3M/ef3m.py b/Chapter10/EF3M/ef3m.py → ... Machine Learning/Bet Sizing/EF3M/ef3m.py
diff --git a/Chapter19/mlfinlab/multi_product/__init__.py → ...l Machine Learning/Bet Sizing/__init__.py b/Chapter19/mlfinlab/multi_product/__init__.py → ...l Machine Learning/Bet Sizing/__init__.py
diff --git a/Chapter10/ef3m_testing.ipynb → ...ne Learning/Bet Sizing/ef3m_testing.ipynb b/Chapter10/ef3m_testing.ipynb → ...ne Learning/Bet Sizing/ef3m_testing.ipynb
diff --git a/Chapter10/readme.md → ...ial Machine Learning/Bet Sizing/readme.md b/Chapter10/readme.md → ...ial Machine Learning/Bet Sizing/readme.md
@@ -1,13 +1,13 @@
-# Chapter 10 Exercise Solutions
-
-## Introduction
-This folder contains the notebook that provides the worked solutions to the exercises found at the end of Chapter 10 of "Advances in Financial Machine Learning" by Marcos López de Prado (2018), as well as an implementation of the EF3M algorithm from "A mixture of Gaussians approach to mathematical portfolio oversight: The EF3M algorithm." _Quantitative Finance_, Vol. 14, No. 5, pp. 913-930, which is used in the exercise solutions.
-
-## Contents
-1. `Chapter10_Exercises.ipynb` - notebook with solutions using self contained code
-2. `Chapter10_Exercises (mlfinlab).ipynb` - notebook with solutions using the `bet_sizing` functionality of the `mlfinlab` module
-2. `ef3m_test.ipynb` - test cases for the EF3M algorithm
-3. `EF3M` - small library containing the implementation of EF3M (used in `Chapter10_Exercises.ipynb`)
-    1. `ef3m.py` - Python file containing the class and methods
-    2. `__init__.py` - init file for `ef3m.py`
-
+# Chapter 10 Exercise Solutions
+
+## Introduction
+This folder contains the notebook that provides the worked solutions to the exercises found at the end of Chapter 10 of "Advances in Financial Machine Learning" by Marcos López de Prado (2018), as well as an implementation of the EF3M algorithm from "A mixture of Gaussians approach to mathematical portfolio oversight: The EF3M algorithm." _Quantitative Finance_, Vol. 14, No. 5, pp. 913-930, which is used in the exercise solutions.
+
+## Contents
+1. `Chapter10_Exercises.ipynb` - notebook with solutions using self contained code
+2. `Chapter10_Exercises (mlfinlab).ipynb` - notebook with solutions using the `bet_sizing` functionality of the `mlfinlab` module
+2. `ef3m_test.ipynb` - test cases for the EF3M algorithm
+3. `EF3M` - small library containing the implementation of EF3M (used in `Chapter10_Exercises.ipynb`)
+    1. `ef3m.py` - Python file containing the class and methods
+    2. `__init__.py` - init file for `ef3m.py`
+
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diff --git a/...2019-04-11_OP_Dollar-Imbalance-Bars.ipynb → ...ta Structures/Dollar-Imbalance-Bars.ipynb b/...2019-04-11_OP_Dollar-Imbalance-Bars.ipynb → ...ta Structures/Dollar-Imbalance-Bars.ipynb
diff --git a/Chapter2/2019_04_10_ETF_trick_hedge.ipynb → ...ial Data Structures/ETF_trick_hedge.ipynb b/Chapter2/2019_04_10_ETF_trick_hedge.ipynb → ...ial Data Structures/ETF_trick_hedge.ipynb
diff --git a/Chapter2/Futures_Roll_Trick.ipynb → ... Data Structures/Futures_Roll_Trick.ipynb b/Chapter2/Futures_Roll_Trick.ipynb → ... Data Structures/Futures_Roll_Trick.ipynb
diff --git a/Chapter2/Getting Started.ipynb → ...ial Data Structures/Getting Started.ipynb b/Chapter2/Getting Started.ipynb → ...ial Data Structures/Getting Started.ipynb
diff --git a/Chapter2/Sample_Techniques.ipynb → ...l Data Structures/Sample_Techniques.ipynb b/Chapter2/Sample_Techniques.ipynb → ...l Data Structures/Sample_Techniques.ipynb
diff --git a/Chapter2/images/book_implementation.png → ...Structures/images/book_implementation.png b/Chapter2/images/book_implementation.png → ...Structures/images/book_implementation.png
diff --git a/Chapter2/images/mlfinlab_implementation.png → ...ctures/images/mlfinlab_implementation.png b/Chapter2/images/mlfinlab_implementation.png → ...ctures/images/mlfinlab_implementation.png
diff --git a/Chapter2/tutorial_data/ES_Trades.zip → ...ta Structures/tutorial_data/ES_Trades.zip b/Chapter2/tutorial_data/ES_Trades.zip → ...ta Structures/tutorial_data/ES_Trades.zip
diff --git a/Chapter2/tutorial_data/dollar_bars.csv → ... Structures/tutorial_data/dollar_bars.csv b/Chapter2/tutorial_data/dollar_bars.csv → ... Structures/tutorial_data/dollar_bars.csv
diff --git a/Chapter2/tutorial_data/tick_bars.csv → ...ta Structures/tutorial_data/tick_bars.csv b/Chapter2/tutorial_data/tick_bars.csv → ...ta Structures/tutorial_data/tick_bars.csv
diff --git a/Chapter2/tutorial_data/time_bars.csv → ...ta Structures/tutorial_data/time_bars.csv b/Chapter2/tutorial_data/time_bars.csv → ...ta Structures/tutorial_data/time_bars.csv
diff --git a/Chapter2/tutorial_data/volume_bars.csv → ... Structures/tutorial_data/volume_bars.csv b/Chapter2/tutorial_data/volume_bars.csv → ... Structures/tutorial_data/volume_bars.csv
diff --git a/Chapter5/Chapter5_Exercises.ipynb → ...ntiated Features/Chapter5_Exercises.ipynb b/Chapter5/Chapter5_Exercises.ipynb → ...ntiated Features/Chapter5_Exercises.ipynb
diff --git a/Chapter5/README.md → ...ionally Differentiated Features/README.md b/Chapter5/README.md → ...ionally Differentiated Features/README.md
diff --git a/Chapter3/2019-03-09_AS_BBand-Question.ipynb → ...e Learning/Labelling/BBand-Question.ipynb b/Chapter3/2019-03-09_AS_BBand-Question.ipynb → ...e Learning/Labelling/BBand-Question.ipynb
diff --git a/...er3/2019-03-03_AS_JJ_Chapter3-Part1.ipynb → ...e Learning/Labelling/Chapter3-Part1.ipynb b/...er3/2019-03-03_AS_JJ_Chapter3-Part1.ipynb → ...e Learning/Labelling/Chapter3-Part1.ipynb
diff --git a/Chapter3/F1-Score.png → ...l Machine Learning/Labelling/F1-Score.png b/Chapter3/F1-Score.png → ...l Machine Learning/Labelling/F1-Score.png
diff --git a/Chapter3/Hybrid models.png → ...hine Learning/Labelling/Hybrid models.png b/Chapter3/Hybrid models.png → ...hine Learning/Labelling/Hybrid models.png
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diff --git a/...er3/2019-03-06_JJ_Meta-Labels-MNIST.ipynb → ...earning/Labelling/Meta-Labels-MNIST.ipynb b/...er3/2019-03-06_JJ_Meta-Labels-MNIST.ipynb → ...earning/Labelling/Meta-Labels-MNIST.ipynb
diff --git a/Chapter3/Model Architecture.png → ...Learning/Labelling/Model Architecture.png b/Chapter3/Model Architecture.png → ...Learning/Labelling/Model Architecture.png
diff --git a/Chapter3/README.md → ...cial Machine Learning/Labelling/README.md b/Chapter3/README.md → ...cial Machine Learning/Labelling/README.md
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diff --git a/Chapter16/Chapter16.ipynb → ...Learning Asset Allocation/Chapter16.ipynb b/Chapter16/Chapter16.ipynb → ...Learning Asset Allocation/Chapter16.ipynb
diff --git a/Chapter19/mlfinlab/tests/__init__.py → ...ine Learning Asset Allocation/__init__.py b/Chapter19/mlfinlab/tests/__init__.py → ...ine Learning Asset Allocation/__init__.py
diff --git a/Chapter16/cla_modified.py → ...Learning Asset Allocation/cla_modified.py b/Chapter16/cla_modified.py → ...Learning Asset Allocation/cla_modified.py
diff --git a/Chapter16/hrp_modified.py → ...Learning Asset Allocation/hrp_modified.py b/Chapter16/hrp_modified.py → ...Learning Asset Allocation/hrp_modified.py
diff --git a/Chapter16/mvo_modified.py → ...Learning Asset Allocation/mvo_modified.py b/Chapter16/mvo_modified.py → ...Learning Asset Allocation/mvo_modified.py
diff --git a/Chapter19/Chapter19-Questions.ipynb → ...ctural Features/Chapter19-Questions.ipynb b/Chapter19/Chapter19-Questions.ipynb → ...ctural Features/Chapter19-Questions.ipynb
diff --git a/Chapter19/Microstructural-Features.ipynb → ...l Features/Microstructural-Features.ipynb b/Chapter19/Microstructural-Features.ipynb → ...l Features/Microstructural-Features.ipynb
diff --git a/Advances in Financial Machine Learning/Microstructural Features/__init__.py b/Advances in Financial Machine Learning/Microstructural Features/__init__.py
diff --git a/Chapter19/mlfinlab/__init__.py → ...ostructural Features/mlfinlab/__init__.py b/Chapter19/mlfinlab/__init__.py → ...ostructural Features/mlfinlab/__init__.py
diff --git a/...er19/mlfinlab/data_structures/__init__.py → ...ures/mlfinlab/data_structures/__init__.py b/...er19/mlfinlab/data_structures/__init__.py → ...ures/mlfinlab/data_structures/__init__.py
diff --git a/...9/mlfinlab/data_structures/bar_feature.py → ...s/mlfinlab/data_structures/bar_feature.py b/...9/mlfinlab/data_structures/bar_feature.py → ...s/mlfinlab/data_structures/bar_feature.py
diff --git a/...r19/mlfinlab/data_structures/base_bars.py → ...res/mlfinlab/data_structures/base_bars.py b/...r19/mlfinlab/data_structures/base_bars.py → ...res/mlfinlab/data_structures/base_bars.py
diff --git a/...a_structures/imbalance_data_structures.py → ...a_structures/imbalance_data_structures.py b/...a_structures/imbalance_data_structures.py → ...a_structures/imbalance_data_structures.py
diff --git a/...ab/data_structures/run_data_structures.py → ...ab/data_structures/run_data_structures.py b/...ab/data_structures/run_data_structures.py → ...ab/data_structures/run_data_structures.py
diff --git a/...ta_structures/standard_data_structures.py → ...ta_structures/standard_data_structures.py b/...ta_structures/standard_data_structures.py → ...ta_structures/standard_data_structures.py
diff --git a/Chapter19/mlfinlab/features/__init__.py → ...al Features/mlfinlab/features/__init__.py b/Chapter19/mlfinlab/features/__init__.py → ...al Features/mlfinlab/features/__init__.py
diff --git a/Chapter19/mlfinlab/features/fracdiff.py → ...al Features/mlfinlab/features/fracdiff.py b/Chapter19/mlfinlab/features/fracdiff.py → ...al Features/mlfinlab/features/fracdiff.py
diff --git a/...er19/mlfinlab/features/microstructural.py → ...ures/mlfinlab/features/microstructural.py b/...er19/mlfinlab/features/microstructural.py → ...ures/mlfinlab/features/microstructural.py
diff --git a/Chapter19/mlfinlab/filters/__init__.py → ...ral Features/mlfinlab/filters/__init__.py b/Chapter19/mlfinlab/filters/__init__.py → ...ral Features/mlfinlab/filters/__init__.py
diff --git a/Chapter19/mlfinlab/filters/filters.py → ...ural Features/mlfinlab/filters/filters.py b/Chapter19/mlfinlab/filters/filters.py → ...ural Features/mlfinlab/filters/filters.py
diff --git a/Chapter19/mlfinlab/labeling/__init__.py → ...al Features/mlfinlab/labeling/__init__.py b/Chapter19/mlfinlab/labeling/__init__.py → ...al Features/mlfinlab/labeling/__init__.py
diff --git a/Chapter19/mlfinlab/labeling/labeling.py → ...al Features/mlfinlab/labeling/labeling.py b/Chapter19/mlfinlab/labeling/labeling.py → ...al Features/mlfinlab/labeling/labeling.py
diff --git a/...in Financial Machine Learning/Microstructural Features/mlfinlab/multi_product/__init__.py b/...in Financial Machine Learning/Microstructural Features/mlfinlab/multi_product/__init__.py
diff --git a/...ter19/mlfinlab/multi_product/etf_trick.py → ...tures/mlfinlab/multi_product/etf_trick.py b/...ter19/mlfinlab/multi_product/etf_trick.py → ...tures/mlfinlab/multi_product/etf_trick.py
diff --git a/...ter19/mlfinlab/sample_weights/__init__.py → ...tures/mlfinlab/sample_weights/__init__.py b/...ter19/mlfinlab/sample_weights/__init__.py → ...tures/mlfinlab/sample_weights/__init__.py
diff --git a/...19/mlfinlab/sample_weights/attribution.py → ...es/mlfinlab/sample_weights/attribution.py b/...19/mlfinlab/sample_weights/attribution.py → ...es/mlfinlab/sample_weights/attribution.py
diff --git a/Chapter19/mlfinlab/sampling/__init__.py → ...al Features/mlfinlab/sampling/__init__.py b/Chapter19/mlfinlab/sampling/__init__.py → ...al Features/mlfinlab/sampling/__init__.py
diff --git a/Chapter19/mlfinlab/sampling/bootstrapping.py → ...atures/mlfinlab/sampling/bootstrapping.py b/Chapter19/mlfinlab/sampling/bootstrapping.py → ...atures/mlfinlab/sampling/bootstrapping.py
diff --git a/Chapter19/mlfinlab/sampling/concurrent.py → ... Features/mlfinlab/sampling/concurrent.py b/Chapter19/mlfinlab/sampling/concurrent.py → ... Features/mlfinlab/sampling/concurrent.py
diff --git a/Advances in Financial Machine Learning/Microstructural Features/mlfinlab/tests/__init__.py b/Advances in Financial Machine Learning/Microstructural Features/mlfinlab/tests/__init__.py
diff --git a/Chapter19/mlfinlab/tests/test_bar_feature.py → ...atures/mlfinlab/tests/test_bar_feature.py b/Chapter19/mlfinlab/tests/test_bar_feature.py → ...atures/mlfinlab/tests/test_bar_feature.py
diff --git a/...r19/mlfinlab/tests/test_data/alloc_df.csv → ...res/mlfinlab/tests/test_data/alloc_df.csv b/...r19/mlfinlab/tests/test_data/alloc_df.csv → ...res/mlfinlab/tests/test_data/alloc_df.csv
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