23/10/2019 mlfinlab · PyPI

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mlfinlab 0.4.1  Latest version

pip install mlfinlab  Last released: Sep 4,

2019

Package based on the text book: Advances in Financial Machine Learning, by Marcos
Lopez de Prado

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 Source Machine Learning Financial Laboratory

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docs passing pypi v0.4.1 downloads 724/month python 3.6 | 3.7


Documentation
MLFinLab is an open source package based on the research of Dr
Marcos Lopez de Prado in his new book Advances in Financial
Machine Learning. This implementation started out as a spring board
Statistics
for a research project in the Masters in Financial Engineering
GitHub statistics: programme at WorldQuant University and has grown into a mini
research group called Hudson and Thames Quantitative Research
 Stars: 653 
(not a iliated with the university).
 Forks: 139 
The following is the online documentation for the package: read-the-
 Open docs.
issues/PRs: 19 
View statistics for this
Barriers to Entry
project via
Libraries.io , or by
using Google As most of you know, getting through the first 3 chapters of the book
BigQuery  is challenging as it relies on HFT data to create the new financial data
structures. Sourcing the HFT data is very di icult and thus we have
resorted to purchasing the full history of S&P500 Emini futures tick
Meta
data from TickData LLC.
License: BSD License
We are not a iliated with TickData in any way but would like to
Author: Hudson and recommend others to make use of their service. The full history cost
Thames Quantitative us about $750 and is worth every penny. They have really done a
Research  great job at cleaning the data and providing it in a user friendly
manner.
 machinelearning,
finance, investment,
education Sample Data
Requires: Python
~=3.6 TickData does o er about 20 days worth of raw tick data which can
be sourced from their website link.

Maintainers For those of you interested in working with a two years of sample
tick, volume, and dollar bars, it is provided for in the research repo..
ashuWEMBA
You should be able to work on a few implementations of the code
with this set.

jacquesjoube
rt

proskurin

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Classifiers

Development Status
3 - Alpha

Intended Audience
Developers
Education
Financial and
Insurance
Industry
Science/Research

License
OSI Approved ::
BSD License

Programming
Language
Python :: 3.6
Python :: 3.7
Progress

Topic
Part 4: Useful Financial Features
O ice/Business ::
Financial :: Working on Chapter 19: Microstructural Features (Maksim)
Investment
Scientific/Engineering Part 3: Backtesting
Scientific/Engineering
:: Artificial Working on Chapter 16: Asset Allocation
Intelligence Working on Chapter 10: Bet Sizing

Part 2: Modelling

Working on Chapter 8: Feature Importance

Done on Chapter 7: Cross-Validation
Done Chapter 6: Ensemble Methods (Sequential Bootstrap
Ensemble)

Part 1: Data Analysis

Done Chapter 5: Fractional Di erentiation

Done Chapter 4: Sample Weights
Done Chapter 3: Labeling
Done Chapter 2: Data Structures
Purchased high quality raw tick data.
Email us if you would like a sample of the standard bars.

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Getting Started

Recommended versions:

Anaconda 3
Python 3.6

Installation for users

The package can be installed from the PyPi index via the console:

1. Launch the terminal and run: pip install mlfinlab

Installation for developers

Clone the package repo to your local machine then follow the steps
below.

Installation on Mac OS X and Ubuntu Linux

1. Make sure you install the latest version of the Anaconda 3

distribution. To do this you can follow the install and update
instructions found on this link:
https://www.anaconda.com/download/#mac
2. Launch a terminal
3. Create a New Conda Environment. From terminal: conda
create -n <env name> python=3.6 anaconda accept all the
requests to install.
4. Now activate the environment with source activate <env
name> .

5. From Terminal: go to the directory where you have saved the file,
example: cd Desktop/mlfinlab/.
6. Install Python requirements, by running the command: pip
install -r requirements.txt

Installation on Windows

1. Download and install the latest version of Anaconda 3

2. Launch Anaconda Navigator

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3. Click Environments, choose an environment name, select

Python 3.6, and click Create
4. Click Home, browse to your new environment, and click Install
under Jupyter Notebook
5. Launch Anaconda Prompt and activate the environment: conda
activate <env name>

6. From Anaconda Prompt: go to the directory where you have

saved the file, example: cd Desktop/mlfinlab/.
7. Install Python requirements, by running the command: pip
install -r requirements.txt

How To Run Checks Locally

On your local machine open the terminal and cd into the working dir.

1. Code style checks: ./pylint

2. Unit tests: python -m unittest discover
3. Code coverage: bash coverage

Built With

Github - Development platform and repo

Travis-CI - Continuous integration, test and deploy

Authors

Ashutosh Singh - LinkedIn

Jacques Joubert - LinkedIn
Oleksandr Proskurin - LinkedIn

Additional Research Repo

BlackArbsCEO has a great repo based on de Prado's research. It

covers many of the questions at the back of every chapter and was
the first source on Github to do so. It has also been a good source of
inspiration for our research.

Adv Fin ML Exercises

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Contact us

At the moment the project is still rather small and thus I would
recommend getting in touch with us over email so that we can
further discuss the areas of contribution that interest you the most.
We have a slack channel where we all communicate.

For now you can get hold us at: research@hudsonthames.org 

Looking forward to hearing from you!

License

This project is licensed under the 3-Clause BSD License - see the
LICENSE.txt file for details.

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Status: All Systems Operational 

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