{"repo":"ml4t/diagnostic","free":true,"listed":false,"github":"https://github.com/ml4t/diagnostic","clone":"git clone https://github.com/ml4t/diagnostic.git","description":"Signal diagnostics, statistical validation, and backtest evaluation for quantitative trading workflows.","language":"Python","stars":27,"topics":["algorithmic-trading","cross-validation","finance","machine-learning-for-trading","ml4t","model-evaluation","overfitting","python","quantitative-finance","statistical-testing"],"license":"MIT","category":"trading","readme_excerpt":"ml4t-diagnostic Statistical validation and diagnostics for quantitative trading strategies: signal analysis, backtest evaluation, and overfitting detection. Documentation: https://ml4trading.io/docs/diagnostic/ Part of the ML4T Library Ecosystem This library is one of six interconnected libraries supporting the machine learning for trading workflow described in Machine Learning for Trading: Together they cover data infrastructure, feature engineering, modeling, signal evaluation, strategy backtesting, and live deployment. What This Library Does Evaluating whether a signal or strategy has genuine predictive power requires statistical rigor. ml4t-diagnostic provides: - Information coefficient (IC) analysis with HAC-adjusted standard errors - Deflated Sharpe Ratio (DSR) with correlation-adjusted K eff plus other multiple-testing corrections (RAS, PBO, FDR) - Combinatorial purged cross-validation (CPCV) with calendar-aware splitting - Feature importance analysis (MDI, PFI, MDA, SHAP) with consensus ranking - Trade-level diagnostics with SHAP-based error pattern discovery - Backtest reporting: BacktestProfile , report metadata, and template-based HTML tearsheets - Portfolio analysis: 16 performance metrics (Sharpe, Sortino, Calmar, VaR, CVaR, ...) - Systematic feature selection with IC, importance, correlation, and drift filtering - 65+ Plotly visualizations with 4 themes (default, dark, print, presentation) The library implements methods from the academic finance literature, part","default_branch":null,"files":null,"tree":[],"storefront":"/r/ml4t","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ml4t/diagnostic/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}