This weeks research was consumed by the concept of Meta-Labeling, how it works, and does it work out-of-sample?

We have published a research report as well as an accompanying slide show.

There was quite a bit of discussion regarding this topic, the following is a link to a Github issue where a few friends and I discuss it at length: Meta-Labeling Q&A.

Maksim Ivanov (Edit: Joined us later in August 2019 as a researcher) wrote a good blog post on it this week as well: Financial Machine Learning Part 1: Labels

Goals for the Next Sprint

We are finished with part 1 of our Capstone project so we will be able to turn our attention to the mlfinlab package and add some more source code. I will be adding in chapter 3 code which we used in our Jupyter notebooks. Proskurin Oleksandr (Github) is busy building the imbalance and run bars, I am busy reviewing his pull request. Lionel Young (Github) has started a meet up group in Singapore focused on algorithmic trading. I will do the same when I get back to London in April (or join one).