Financial ML & Backtesting Infrastructure

Machine learning for return prediction and risk, paired with backtesting infrastructure that controls for look-ahead, selection bias, and overfitting. This is the research line behind the Strategy Validation Engine.

Focus

Purged and combinatorial cross-validation
Deflated Sharpe ratio and backtest-overfitting probability
Feature leakage and data integrity
Model risk for ML strategies

Publications & tools

Coming soon. Write-ups, notebooks, and tools from this research line will be published here.

Learn the groundwork

AI & Machine Learning for Finance→Foundations of Machine Learning→