Description
Applying ML to trading is full of traps in labeling, sampling and overfit backtests. MlFinLab is a financial machine learning library for portfolio managers and traders.
It implements labeling, features, sampling and cross-validation from Advances in Financial Machine Learning, reproducible and interpretable.
Labeling:Triple barrier.
Features:Fractional differencing.
Sampling:Information-driven.
CV:Leak-free.
It implements labeling, features, sampling and cross-validation from Advances in Financial Machine Learning, reproducible and interpretable.
Features
Labeling:Triple barrier.
Features:Fractional differencing.
Sampling:Information-driven.
CV:Leak-free.
