wehub-resource-sync
2262 lines
57 KiB
YAML
2262 lines
57 KiB
YAML
02_financial_data_universe/01_us_equities_eda:
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|
timeout: 180
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|
02_financial_data_universe/02_corporate_actions:
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|
timeout: 180
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|
02_financial_data_universe/03_etfs_eda:
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|
timeout: 180
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|
02_financial_data_universe/04_cme_futures_eda:
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|
timeout: 300
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|
02_financial_data_universe/05_futures_session_aggregation:
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|
timeout: 300
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|
02_financial_data_universe/06_futures_continuous:
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|
skip: true
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|
skip_reason: "Requires individual contract months \u2014 test data has only continuous series"
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|
timeout: 300
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|
02_financial_data_universe/07_sp500_options_eda:
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|
timeout: 180
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|
02_financial_data_universe/08_options_greeks_computation:
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timeout: 300
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|
02_financial_data_universe/09_options_continuous:
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|
parameters:
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|
DEMO_SYMBOL: AAPL
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|
DEMO_YEAR: 2019
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timeout: 300
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|
02_financial_data_universe/10_crypto_perps_eda:
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|
timeout: 180
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|
02_financial_data_universe/11_crypto_premium_analysis:
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|
timeout: 180
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|
02_financial_data_universe/12_fx_pairs_eda:
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|
timeout: 180
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|
02_financial_data_universe/13_data_quality_framework:
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|
timeout: 300
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|
02_financial_data_universe/14_point_in_time_validation:
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timeout: 300
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|
02_financial_data_universe/15_survivorship_bias_detection:
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timeout: 300
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|
02_financial_data_universe/16_provider_comparison:
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# Live Yahoo Finance pulls. Runs in the weekly tier (GitHub runners have
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# internet); flake-retried on transient network hiccups. Phase 3's drift smoke
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# is the early-warning if Yahoo itself changes.
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tier: weekly
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reruns: 2
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timeout: 300
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|
02_financial_data_universe/17_complete_pipeline:
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# Live Yahoo Finance pulls. See 16_provider_comparison.
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tier: weekly
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reruns: 2
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timeout: 300
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|
02_financial_data_universe/18_data_management:
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|
timeout: 300
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|
02_financial_data_universe/18_storage_benchmark_file:
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timeout: 300
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|
02_financial_data_universe/19_incremental_updates:
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timeout: 300
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|
02_financial_data_universe/20_storage_benchmark_file:
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timeout: 300
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|
02_financial_data_universe/21_storage_benchmark_database:
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docker_env: benchmark
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requires_import: duckdb
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|
03_market_microstructure/01_itch_parser:
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skip: true
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skip_reason: "Requires ~5GB raw ITCH binary download \u2014 tested locally only"
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tier: weekly
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timeout: 300
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|
03_market_microstructure/02_itch_lob_reconstruction:
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skip: true
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skip_reason: "Requires 01_itch_parser output (raw ITCH binary pipeline) \u2014 tested locally"
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timeout: 300
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03_market_microstructure/03_itch_lob_analysis:
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skip: true
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skip_reason: "Requires LOB snapshots from 02_itch_lob_reconstruction \u2014 tested locally"
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timeout: 300
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03_market_microstructure/04_itch_order_lifecycle_analysis:
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skip: true
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skip_reason: "Requires 01_itch_parser output (raw ITCH binary pipeline) \u2014 tested locally"
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timeout: 300
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03_market_microstructure/05_itch_trading_activity:
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skip: true
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skip_reason: "Requires 01_itch_parser output (raw ITCH binary pipeline) \u2014 tested locally"
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timeout: 300
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|
03_market_microstructure/06_itch_intraday_patterns:
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timeout: 300
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|
03_market_microstructure/07_itch_stylized_facts:
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timeout: 300
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|
03_market_microstructure/08_databento_lob_reconstruction:
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timeout: 300
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|
03_market_microstructure/09_databento_mbo_analysis:
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|
timeout: 300
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|
03_market_microstructure/10_iex_lob_reconstruction:
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|
skip: true
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|
skip_reason: "Requires IEX HIST DEEP raw pcap download \u2014 tested locally only"
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tier: weekly
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|
timeout: 300
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|
03_market_microstructure/11_algoseek_taq_eda:
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|
timeout: 300
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|
03_market_microstructure/12_algoseek_taq_lob_reconstruction:
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timeout: 300
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|
03_market_microstructure/13_algoseek_minute_bars_eda:
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skip: true
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|
skip_reason: Helper script, not a teaching notebook
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timeout: 300
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|
03_market_microstructure/14_itch_bar_sampling:
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skip: true
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|
skip_reason: "Requires trade messages from 01_itch_parser \u2014 tested locally"
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timeout: 300
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|
03_market_microstructure/15_itch_lee_ready:
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timeout: 300
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|
03_market_microstructure/16_itch_information_bars:
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timeout: 300
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|
03_market_microstructure/17_databento_bar_sampling:
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timeout: 300
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|
04_fundamental_alternative_data/01_academic_characteristics:
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timeout: 300
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|
04_fundamental_alternative_data/02_sec_filing_explorer:
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|
skip: true
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|
skip_reason: Requires EDGAR_IDENTITY env var for SEC EDGAR network calls; CI does not provide.
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tier: weekly
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|
timeout: 300
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|
04_fundamental_alternative_data/03_sec_form4_insider_transactions:
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|
timeout: 300
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|
04_fundamental_alternative_data/04_sec_xbrl_fundamentals:
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|
timeout: 300
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|
04_fundamental_alternative_data/05_entity_resolution:
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|
timeout: 300
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|
04_fundamental_alternative_data/06_fred_macro_eda:
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|
timeout: 180
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|
04_fundamental_alternative_data/07_macro_data_alignment:
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|
timeout: 300
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|
04_fundamental_alternative_data/08_futures_positioning:
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|
timeout: 300
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|
04_fundamental_alternative_data/09_onchain_fundamentals:
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|
timeout: 300
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|
04_fundamental_alternative_data/10_institutional_holdings_13f:
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|
timeout: 300
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|
04_fundamental_alternative_data/11_defi_tvl_evaluation:
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|
timeout: 300
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|
04_fundamental_alternative_data/12_kalshi_prediction_markets:
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|
timeout: 300
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|
04_fundamental_alternative_data/13_polymarket_prediction_markets:
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|
timeout: 120
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|
04_fundamental_alternative_data/14_text_data_extraction:
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|
skip: true
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|
skip_reason: Requires EDGAR_IDENTITY env var for SEC EDGAR network calls; CI does not provide.
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|
tier: weekly
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|
timeout: 300
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|
05_synthetic_data/00_classical_simulation:
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timeout: 180
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|
05_synthetic_data/01_timegan:
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docker_env: py312
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gpu: true
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|
parameters:
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BATCH_SIZE: 32
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|
EPOCHS: 1
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|
HIDDEN_DIM: 8
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NUM_LAYERS: 1
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N_SAMPLES: 100
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|
SEQ_LEN: 5
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timeout: 600
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|
05_synthetic_data/02_tailgan_tail_risk:
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gpu: true
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parameters:
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BATCH_SIZE: 64
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|
LATENT_DIM: 32
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|
N_COLS: 5
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|
N_EPOCHS: 1
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|
N_SCENARIO_MULTIPLIER: 1
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|
N_STRATEGIES: 2
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RETRAIN: true
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|
timeout: 120
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|
05_synthetic_data/03_sigcwgan_signatures:
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docker_env: py312
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gpu: true
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|
parameters:
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BATCH_SIZE: 256
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|
RETRAIN: true
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|
TOTAL_STEPS: 100
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|
requires_import: signatory
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|
timeout: 900
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|
05_synthetic_data/04_gtgan_irregular:
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gpu: true
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|
parameters:
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|
BATCH_SIZE: 4
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|
HIDDEN_DIM: 4
|
|
LATENT_DIM: 4
|
|
MAX_STEPS: 2
|
|
N_BARS: 100
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|
ODE_HIDDEN: 4
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|
ODE_METHOD: euler
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|
SEQ_LENGTH: 4
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|
timeout: 120
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|
05_synthetic_data/05_diffusion_ts:
|
|
gpu: true
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|
parameters:
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|
BATCH_SIZE: 8
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|
CLASSIFIER_EPOCHS: 1
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|
EPOCHS: 1
|
|
FEATURE_SIZE: 3
|
|
GRADIENT_ACCUMULATE_EVERY: 1
|
|
N_COND: 10
|
|
N_LAYER_DEC: 1
|
|
N_SYNTHETIC: 50
|
|
SAMPLING_TIMESTEPS: 2
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|
SCHEDULER_PATIENCE: 1
|
|
SEQ_LENGTH: 8
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|
TIMESTEPS: 5
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|
WARMUP_STEPS: 1
|
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timeout: 180
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|
05_synthetic_data/06_llm_tabular_great:
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gpu: true
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|
parameters:
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BATCH_SIZE: 8
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|
EPOCHS: 1
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|
N_GENERATE: 10
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|
N_SAMPLES: 50
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timeout: 120
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|
05_synthetic_data/07_dp_gan:
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docker_env: py312
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gpu: true
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|
parameters:
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BATCH_SIZE: 32
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|
EPOCHS: 5
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|
MAX_SYMBOLS: 5
|
|
timeout: 300
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|
06_strategy_definition/01_cv_foundations:
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|
parameters:
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N_VIZ: 100
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|
timeout: 180
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|
06_strategy_definition/02_case_study_overview:
|
|
timeout: 180
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|
07_defining_the_learning_task/01_data_quality_diagnostics:
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parameters:
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|
START_DATE: '2023-01-01'
|
|
timeout: 300
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|
07_defining_the_learning_task/02_preprocessing_pipeline:
|
|
parameters:
|
|
START_DATE: '2023-01-01'
|
|
timeout: 300
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|
07_defining_the_learning_task/03_label_methods:
|
|
timeout: 300
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|
07_defining_the_learning_task/04_minimum_favorable_adverse_excursion:
|
|
timeout: 300
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|
07_defining_the_learning_task/05_signal_evaluation:
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|
parameters:
|
|
MAX_SYMBOLS: 15
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|
N_PERMUTATIONS: 50
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|
START_DATE: '2022-01-01'
|
|
timeout: 300
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|
07_defining_the_learning_task/06_ic_inference:
|
|
parameters:
|
|
START_DATE: '2022-01-01'
|
|
n_boot: 500
|
|
timeout: 300
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|
07_defining_the_learning_task/07_multiple_testing:
|
|
parameters:
|
|
etf_start: '2020-01-01'
|
|
n_assets: 20
|
|
n_assets_zoo: 30
|
|
n_combos: 10
|
|
n_days: 252
|
|
n_factors: 30
|
|
n_factors_zoo: 50
|
|
n_periods: 120
|
|
n_periods_zoo: 252
|
|
n_rad_etf: 500
|
|
n_rad_sims: 500
|
|
n_strat_pbo: 8
|
|
n_strategies: 10
|
|
n_true: 3
|
|
timeout: 300
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|
07_defining_the_learning_task/08_causal_sanity_checks:
|
|
parameters:
|
|
N_PERMUTATIONS: 20
|
|
START_DATE: '2022-01-01'
|
|
timeout: 900
|
|
02_financial_data_universe/22_pandas_polars_benchmark:
|
|
timeout: 300
|
|
07_defining_the_learning_task/10_ml4t_library_ecosystem:
|
|
parameters:
|
|
SPY_START_DATE: '2023-01-01'
|
|
timeout: 180
|
|
08_financial_features/01_price_volume_features:
|
|
parameters:
|
|
START_DATE: '2023-01-01'
|
|
timeout: 300
|
|
08_financial_features/02_microstructure_features:
|
|
parameters:
|
|
N_TRADES: 50000
|
|
timeout: 300
|
|
08_financial_features/03_structural_cross_instrument_features:
|
|
parameters:
|
|
START_DATE: '2022-01-01'
|
|
timeout: 300
|
|
08_financial_features/04_fundamentals_macro_calendar:
|
|
parameters:
|
|
START_DATE: '2023-01-01'
|
|
timeout: 300
|
|
08_financial_features/05_factor_orthogonality:
|
|
parameters:
|
|
START_DATE: '2023-01-01'
|
|
timeout: 900
|
|
08_financial_features/06_robustness_sensitivity:
|
|
timeout: 300
|
|
08_financial_features/07_event_studies:
|
|
parameters:
|
|
START_DATE: '2022-01-01'
|
|
timeout: 300
|
|
08_financial_features/08_feature_selection:
|
|
parameters:
|
|
START_DATE: '2023-01-01'
|
|
timeout: 900
|
|
08_financial_features/case_study_feature_summary:
|
|
timeout: 300
|
|
09_model_based_features/01_visual_diagnostics:
|
|
timeout: 180
|
|
09_model_based_features/02_structural_breaks:
|
|
timeout: 300
|
|
09_model_based_features/03_fractional_differencing:
|
|
timeout: 300
|
|
09_model_based_features/04_kalman_filter:
|
|
timeout: 300
|
|
09_model_based_features/05_spectral_features:
|
|
timeout: 300
|
|
09_model_based_features/06_path_signatures:
|
|
docker_env: py312
|
|
requires_import: esig
|
|
timeout: 300
|
|
09_model_based_features/07_arima_features:
|
|
timeout: 300
|
|
09_model_based_features/08_garch_volatility:
|
|
timeout: 300
|
|
09_model_based_features/09_har_rough_volatility:
|
|
parameters:
|
|
INTRADAY_SYMBOL: AMD
|
|
MIN_BARS_PER_DAY: 100
|
|
timeout: 300
|
|
09_model_based_features/10_uncertainty_features:
|
|
parameters:
|
|
N_DRAWS: 300
|
|
N_TUNE: 500
|
|
REFIT_INTERVAL: 126
|
|
TRAIN_DAYS: 126
|
|
timeout: 300
|
|
09_model_based_features/11_hmm_regimes:
|
|
timeout: 300
|
|
09_model_based_features/12_wasserstein_regimes:
|
|
docker_env: py312
|
|
timeout: 300
|
|
09_model_based_features/13_regime_as_feature:
|
|
timeout: 300
|
|
09_model_based_features/14_panel_features:
|
|
timeout: 300
|
|
09_model_based_features/case_study_temporal_summary:
|
|
timeout: 300
|
|
10_text_feature_engineering/01_word2vec_training:
|
|
docker_env: py312
|
|
parameters:
|
|
EPOCHS: 2
|
|
MIN_COUNT: 3
|
|
WINDOW: 5
|
|
requires_import: gensim
|
|
reruns: 2
|
|
timeout: 300
|
|
10_text_feature_engineering/02_asset_embeddings:
|
|
docker_env: py312
|
|
parameters:
|
|
MAX_INSTITUTIONS: 20
|
|
requires_import: gensim
|
|
timeout: 300
|
|
10_text_feature_engineering/03_sentiment_evolution:
|
|
docker_env: py312
|
|
gpu: true
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
requires_import: gensim
|
|
timeout: 300
|
|
10_text_feature_engineering/04_bert_finetuning:
|
|
env:
|
|
TEST: '1'
|
|
gpu: true
|
|
timeout: 600
|
|
10_text_feature_engineering/05_financial_ner_finetuning:
|
|
env:
|
|
TEST: '1'
|
|
gpu: true
|
|
timeout: 600
|
|
10_text_feature_engineering/06_finbert_cross_dataset:
|
|
gpu: true
|
|
timeout: 300
|
|
10_text_feature_engineering/07_news_return_signals:
|
|
gpu: true
|
|
parameters:
|
|
MAX_ARTICLES: 500
|
|
MAX_TICKERS: 5
|
|
timeout: 600
|
|
10_text_feature_engineering/08_text_feature_evaluation:
|
|
parameters:
|
|
MIN_ASSETS_PER_DAY: 3
|
|
timeout: 300
|
|
10_text_feature_engineering/09_filing_text_signals:
|
|
gpu: true
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 600
|
|
11_ml_pipeline/01_ols_inference:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
MAX_TRAIN_ROWS: 5000
|
|
VIF_MAX_ROWS: 2000
|
|
timeout: 300
|
|
11_ml_pipeline/02_regularization_paths:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
11_ml_pipeline/03_logistic_classification:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
11_ml_pipeline/04_nested_cv_hpo:
|
|
parameters:
|
|
ALPHA_GRID_POINTS: 10
|
|
MAX_SYMBOLS: 10
|
|
N_SPLITS: 3
|
|
N_TRIALS: 5
|
|
timeout: 360
|
|
11_ml_pipeline/05_shap_analysis:
|
|
parameters:
|
|
MAX_CV_FOLDS: 2
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
11_ml_pipeline/06_conformal_prediction:
|
|
parameters:
|
|
MAX_CV_FOLDS: 2
|
|
MAX_QR_SAMPLES: 5000
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
11_ml_pipeline/07_case_study_insights:
|
|
timeout: 300
|
|
11_ml_pipeline/08_ml_backtest_intro:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 10
|
|
TOP_N: 5
|
|
timeout: 300
|
|
12_gradient_boosting/01_ensemble_foundations:
|
|
timeout: 360
|
|
12_gradient_boosting/02_gbm_comparison:
|
|
long_running: true
|
|
parameters:
|
|
MAX_SYMBOLS: 3
|
|
timeout: 900
|
|
12_gradient_boosting/03_dl_vs_gbm:
|
|
gpu: true
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 15
|
|
TABM_EPOCHS: 2
|
|
timeout: 900
|
|
12_gradient_boosting/04_optuna_tuning:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
N_TRIALS: 5
|
|
timeout: 360
|
|
12_gradient_boosting/05_cross_library_hpo:
|
|
gpu: true
|
|
parameters:
|
|
N_LIBRARIES: 1
|
|
N_TRIALS: 2
|
|
N_WARMUP_TRIALS: 1
|
|
timeout: 600
|
|
12_gradient_boosting/06_optuna_multi_asset:
|
|
parameters:
|
|
N_TRIALS: 2
|
|
timeout: 600
|
|
12_gradient_boosting/07_hpo_comparison:
|
|
gpu: true
|
|
long_running: true
|
|
parameters:
|
|
N_GRID_POINTS: 3
|
|
N_OPTUNA_TRIALS: 2
|
|
timeout: 2400
|
|
12_gradient_boosting/08_shap_analysis:
|
|
env:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
12_gradient_boosting/09_xai_limitations:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
12_gradient_boosting/10_shap_nlp_sentiment:
|
|
docker_env: py312
|
|
gpu: true
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
SAMPLE_SIZE: 100
|
|
timeout: 300
|
|
12_gradient_boosting/11_conformal_gbm:
|
|
gpu: true
|
|
parameters:
|
|
MAX_SYMBOLS: 3
|
|
timeout: 900
|
|
12_gradient_boosting/12_case_study_insights:
|
|
timeout: 300
|
|
13_dl_time_series/01_core_architectures:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
HIDDEN_SIZE: 16
|
|
LOOKBACK: 10
|
|
timeout: 300
|
|
13_dl_time_series/02_nbeats_interpretable:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
HIDDEN_SIZE: 32
|
|
LOOKBACK: 10
|
|
N_BLOCKS: 2
|
|
N_LAYERS: 2
|
|
timeout: 300
|
|
13_dl_time_series/03_great_debate:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
D_MODEL: 16
|
|
EPOCHS: 2
|
|
LOOKBACK: 24
|
|
N_HEADS: 2
|
|
N_LAYERS: 1
|
|
timeout: 300
|
|
13_dl_time_series/04_transformers:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
D_MODEL: 16
|
|
EPOCHS: 2
|
|
LOOKBACK: 12
|
|
N_HEADS: 2
|
|
N_LAYERS: 1
|
|
PATCH_SIZE: 6
|
|
timeout: 300
|
|
13_dl_time_series/05_tcn:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
LOOKBACK: 12
|
|
N_CHANNELS: 16
|
|
timeout: 300
|
|
13_dl_time_series/06_tsmixer:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
D_MODEL: 16
|
|
EPOCHS: 2
|
|
LOOKBACK: 12
|
|
N_LAYERS: 1
|
|
timeout: 300
|
|
13_dl_time_series/07_mamba_ssm:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
D_MODEL: 16
|
|
D_STATE: 8
|
|
EPOCHS: 2
|
|
LOOKBACK: 12
|
|
MAX_TEST_SAMPLES: 2000
|
|
MAX_TRAIN_SAMPLES: 5000
|
|
MAX_VAL_SAMPLES: 2000
|
|
N_LAYERS: 1
|
|
timeout: 300
|
|
13_dl_time_series/08_cnn_image_encoding:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
IMAGE_SIZE: 16
|
|
LOOKBACK: 10
|
|
MAX_TEST_SAMPLES: 2000
|
|
MAX_TRAIN_SAMPLES: 5000
|
|
MAX_VAL_SAMPLES: 2000
|
|
timeout: 300
|
|
13_dl_time_series/09_foundation_models:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
CHRONOS_NUM_SAMPLES: 3
|
|
CONTEXT_LENGTH: 12
|
|
EPOCHS: 2
|
|
MAX_TEST_SAMPLES: 2000
|
|
MAX_TRAIN_SAMPLES: 5000
|
|
MAX_VAL_SAMPLES: 2000
|
|
PREDICTION_LENGTH: 5
|
|
timeout: 300
|
|
13_dl_time_series/10_uncertainty:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
HIDDEN_SIZE: 16
|
|
LOOKBACK: 12
|
|
MAX_SYMBOLS: 5
|
|
MC_SAMPLES: 5
|
|
N_ENSEMBLE: 2
|
|
timeout: 300
|
|
13_dl_time_series/11_library_landscape:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
EPOCHS: 2
|
|
HIDDEN_SIZE: 16
|
|
# PatchTST requires context_length (LOOKBACK) > patch_length (12); keep
|
|
# the test LOOKBACK small but above the patch length to stay valid.
|
|
LOOKBACK: 24
|
|
timeout: 300
|
|
13_dl_time_series/12_case_study_insights:
|
|
timeout: 300
|
|
14_latent_factors/01_pca_equity_sectors:
|
|
parameters:
|
|
N_BOOTSTRAP: 20
|
|
timeout: 180
|
|
14_latent_factors/02_eigenportfolios:
|
|
parameters:
|
|
TOP_N_STOCKS: 50
|
|
timeout: 240
|
|
14_latent_factors/03_yield_curve_decomposition:
|
|
timeout: 120
|
|
14_latent_factors/04_ipca:
|
|
parameters:
|
|
MAX_ITER: 30
|
|
N_ASSETS: 50
|
|
N_PERIODS: 200
|
|
timeout: 240
|
|
14_latent_factors/05_rp_pca:
|
|
parameters:
|
|
N_ASSETS: 50
|
|
N_PERIODS: 200
|
|
timeout: 180
|
|
14_latent_factors/06_conditional_autoencoder:
|
|
docker_env: py312
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
ENSEMBLE_SIZE: 2
|
|
N_EPOCHS: 5
|
|
TOP_N_STOCKS: 50
|
|
timeout: 900
|
|
14_latent_factors/07_stochastic_discount_factor:
|
|
gpu: true
|
|
parameters:
|
|
BETA_NET_EPOCHS: 8
|
|
NUM_ADVERSARIAL_ROUNDS: 1
|
|
NUM_EPOCHS_CONDITIONAL: 12
|
|
NUM_EPOCHS_INSTRUMENTS: 4
|
|
NUM_EPOCHS_UNCONDITIONAL: 8
|
|
N_MACRO_COLS: 10
|
|
N_STOCKS: 50
|
|
timeout: 360
|
|
14_latent_factors/08_supervised_autoencoder:
|
|
gpu: true
|
|
parameters:
|
|
N_EPOCHS: 5
|
|
N_SPLITS: 2
|
|
N_STOCKS: 25
|
|
timeout: 900
|
|
14_latent_factors/09_case_study_insights:
|
|
timeout: 300
|
|
15_causal_estimation/01_library_overview:
|
|
timeout: 180
|
|
15_causal_estimation/02_dowhy_causal_graph:
|
|
timeout: 240
|
|
15_causal_estimation/03_econml_dml:
|
|
parameters:
|
|
CV_FOLDS: 3
|
|
MAX_SAMPLES: 5000
|
|
N_PLACEBO_PERMUTATIONS: 10
|
|
timeout: 360
|
|
15_causal_estimation/04_dml_crypto_regime:
|
|
parameters:
|
|
CV_FOLDS: 3
|
|
MAX_SAMPLES: 5000
|
|
N_PLACEBO_PERMUTATIONS: 10
|
|
timeout: 360
|
|
15_causal_estimation/05_momentum_causal_trading:
|
|
parameters:
|
|
CV_FOLDS: 3
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 10
|
|
skip: true
|
|
skip_reason: Walk-forward CV needs more bars than the test-data window provides
|
|
timeout: 360
|
|
15_causal_estimation/06_fed_announcement_bsts:
|
|
docker_env: py312
|
|
requires_import: causalimpact
|
|
timeout: 300
|
|
15_causal_estimation/07_tigramite_time_series:
|
|
timeout: 360
|
|
15_causal_estimation/08_neural_causal_discovery:
|
|
parameters:
|
|
NOTEARS_MAX_ITER: 25
|
|
N_BOOTSTRAP: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 600
|
|
15_causal_estimation/09_adia_causal_benchmark:
|
|
parameters:
|
|
N_DATASETS: 50
|
|
N_ESTIMATORS: 50
|
|
N_RF_ESTIMATORS: 25
|
|
timeout: 900
|
|
15_causal_estimation/10_case_study_insights:
|
|
skip: true
|
|
skip_reason: "Empty causal_runs table \u2192 pl.concat([]) blows up; needs production causal-DML registry data"
|
|
timeout: 300
|
|
15_causal_estimation/11_factor_zoo_validation:
|
|
timeout: 360
|
|
16_strategy_simulation/01_backtest_first_principles:
|
|
timeout: 300
|
|
16_strategy_simulation/02_futures_backtesting:
|
|
parameters:
|
|
INITIAL_CASH: 100000
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
16_strategy_simulation/03_single_asset_vectorbt:
|
|
timeout: 300
|
|
16_strategy_simulation/04_single_asset_ml4t_backtest:
|
|
timeout: 300
|
|
16_strategy_simulation/05_stateful_strategies:
|
|
parameters:
|
|
N_ASSETS: 10
|
|
N_DAYS: 252
|
|
SEED: 42
|
|
timeout: 300
|
|
16_strategy_simulation/06_framework_parity:
|
|
parameters:
|
|
N_ASSETS: 5
|
|
N_DAYS: 252
|
|
SEED: 42
|
|
timeout: 300
|
|
16_strategy_simulation/07_engine_divergence_anatomy:
|
|
timeout: 300
|
|
16_strategy_simulation/08_backtest_statistical_inference:
|
|
parameters:
|
|
N_ASSETS: 10
|
|
N_PERIODS: 252
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
16_strategy_simulation/08_signal_method_comparison:
|
|
timeout: 300
|
|
16_strategy_simulation/09_backtesting_pitfalls:
|
|
parameters:
|
|
N_BARS: 252
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
16_strategy_simulation/09_performance_reporting:
|
|
timeout: 300
|
|
16_strategy_simulation/10_regime_backtest_analysis:
|
|
timeout: 300
|
|
16_strategy_simulation/10_transaction_costs:
|
|
parameters:
|
|
N_ASSETS: 10
|
|
N_DAYS: 252
|
|
timeout: 300
|
|
16_strategy_simulation/11_look_ahead_bias:
|
|
parameters:
|
|
N_ASSETS: 10
|
|
N_PERIODS: 252
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
16_strategy_simulation/11_sharpe_ratio_inference:
|
|
timeout: 180
|
|
16_strategy_simulation/12_dsr_validation:
|
|
timeout: 300
|
|
16_strategy_simulation/12_walk_forward_optimization:
|
|
parameters:
|
|
N_ASSETS: 10
|
|
N_LOOKBACK_PERIODS: 3
|
|
N_PERIODS: 500
|
|
timeout: 300
|
|
16_strategy_simulation/13_backtesting_protocols:
|
|
parameters:
|
|
N_BARS: 252
|
|
N_LOOKBACK: 126
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
16_strategy_simulation/13_ras_protocol:
|
|
timeout: 180
|
|
16_strategy_simulation/14_case_study_insights:
|
|
timeout: 300
|
|
16_strategy_simulation/15_lean_engine_parity:
|
|
timeout: 300
|
|
16_strategy_simulation/16_case_study_lean_parity:
|
|
timeout: 300
|
|
16_strategy_simulation/17_backtrader_zipline_engine_parity:
|
|
timeout: 300
|
|
16_strategy_simulation/18_vectorbt_engine_parity:
|
|
timeout: 300
|
|
17_portfolio_construction/01_portfolio_metrics:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/02_markowitz_mvo:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/02_mean_variance_optimization:
|
|
timeout: 300
|
|
17_portfolio_construction/03_robust_optimization:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_PORTFOLIOS: 500
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
17_portfolio_construction/04_black_litterman:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/04_kelly_criterion:
|
|
timeout: 180
|
|
17_portfolio_construction/05_factor_allocation_evidence:
|
|
timeout: 600
|
|
17_portfolio_construction/05_risk_parity:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/06_hierarchical_risk_parity:
|
|
timeout: 300
|
|
17_portfolio_construction/06_regime_based_allocation:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/07_conformal_position_sizing:
|
|
parameters:
|
|
HORIZON_CME: 1
|
|
HORIZON_ETF: 5
|
|
TOP_K_CME: 5
|
|
TOP_K_ETF: 5
|
|
timeout: 300
|
|
17_portfolio_construction/07_shrinkage_estimators:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/08_library_comparison:
|
|
timeout: 600
|
|
17_portfolio_construction/08_signal_combination:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/09_allocator_comparison:
|
|
timeout: 600
|
|
17_portfolio_construction/09_portfolio_rebalancing:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
17_portfolio_construction/10_constraints_real_world:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/11_deepm_basics:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_EPOCHS: 10
|
|
timeout: 300
|
|
17_portfolio_construction/11_dl_portfolio_allocation:
|
|
gpu: true
|
|
parameters:
|
|
N_EPOCHS: 2
|
|
timeout: 600
|
|
17_portfolio_construction/12_vlstm_portfolio:
|
|
gpu: true
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_EPOCHS: 2
|
|
timeout: 600
|
|
17_portfolio_construction/13_deepm_regime_robust:
|
|
gpu: true
|
|
parameters:
|
|
MAX_ITERS: 40
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/01_cost_taxonomy:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/02_spread_estimation:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/03_impact_models:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/03_market_impact_calibration:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
NQ100_SYMBOLS: 5
|
|
timeout: 300
|
|
18_transaction_costs/04_execution_algorithms:
|
|
parameters:
|
|
N_DAYS: 20
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
18_transaction_costs/04_vwap_twap_execution:
|
|
timeout: 300
|
|
18_transaction_costs/05_almgren_chriss_optimal_execution:
|
|
timeout: 300
|
|
18_transaction_costs/05_nasdaq100_microstructure_validation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
18_transaction_costs/06_cost_adjusted_backtesting:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/06_ml4t_execution_demo:
|
|
timeout: 300
|
|
18_transaction_costs/07_cost_aware_portfolio:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/07_ml4t_volume_participation:
|
|
timeout: 300
|
|
18_transaction_costs/08_ml_dynamic_execution:
|
|
timeout: 300
|
|
18_transaction_costs/08_turnover_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/09_cost_sweep:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 600
|
|
18_transaction_costs/09_frequency_tradeoff:
|
|
timeout: 180
|
|
18_transaction_costs/10_gross_vs_net_performance:
|
|
timeout: 180
|
|
18_transaction_costs/10_optimal_execution:
|
|
parameters:
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
18_transaction_costs/11_cost_cliff:
|
|
timeout: 180
|
|
18_transaction_costs/11_market_regime_costs:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
18_transaction_costs/12_commission_slippage_comparison:
|
|
timeout: 180
|
|
18_transaction_costs/12_cost_benchmarking:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
19_risk_management/01_var_cvar:
|
|
timeout: 300
|
|
19_risk_management/02_exit_strategies:
|
|
timeout: 300
|
|
19_risk_management/03_position_sizing_mae_mfe:
|
|
timeout: 300
|
|
19_risk_management/04_drawdown_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
19_risk_management/04_factor_exposure:
|
|
timeout: 300
|
|
19_risk_management/05_stress_correlation:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_SIMULATIONS: 200
|
|
timeout: 300
|
|
19_risk_management/05_trade_shap_diagnostics:
|
|
timeout: 300
|
|
19_risk_management/06_stress_testing:
|
|
timeout: 300
|
|
19_risk_management/07_drift_detection:
|
|
timeout: 300
|
|
19_risk_management/08_ml_exit_signals:
|
|
timeout: 300
|
|
19_risk_management/09_deep_hedging:
|
|
gpu: true
|
|
parameters:
|
|
BATCH_SIZE: 64
|
|
N_EPOCHS: 5
|
|
N_PATHS: 500
|
|
N_STEPS: 20
|
|
timeout: 600
|
|
19_risk_management/10_ml4t_backtest_risk_demo:
|
|
timeout: 300
|
|
19_risk_management/10_risk_sweep:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
N_SIMULATIONS: 200
|
|
timeout: 600
|
|
19_risk_management/11_case_study_diagnostics:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 300
|
|
19_risk_management/11_systematic_risk_sweep:
|
|
parameters:
|
|
MAX_RISK_VARIANTS: 3
|
|
timeout: 900
|
|
20_strategy_synthesis/00_holdout_predictions:
|
|
skip_reason: Requires trained model registry (not available in CI test data)
|
|
20_strategy_synthesis/01_aggregate_synthesis:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
# Isolated test registry has no nasdaq out-of-band cost-feasible carrier,
|
|
# so its spine can't resolve; report cost/risk N/A instead of raising.
|
|
ALLOW_MISSING_SPINE: true
|
|
timeout: 600
|
|
20_strategy_synthesis/02_feature_evaluation:
|
|
timeout: 300
|
|
20_strategy_synthesis/03_signal_quality:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 600
|
|
20_strategy_synthesis/04_signal_to_strategy:
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
timeout: 600
|
|
20_strategy_synthesis/05_portfolio_allocation:
|
|
parameters:
|
|
MAX_CASE_STUDIES: 0
|
|
timeout: 600
|
|
20_strategy_synthesis/06_cost_survival:
|
|
parameters:
|
|
MAX_CASE_STUDIES: 0
|
|
timeout: 600
|
|
20_strategy_synthesis/07_regime_risk:
|
|
parameters:
|
|
MAX_CASE_STUDIES: 0
|
|
timeout: 600
|
|
20_strategy_synthesis/08_recommendations:
|
|
timeout: 300
|
|
21_rl_execution_hedging/01_algorithms_comparison:
|
|
parameters:
|
|
EVAL_EPISODES: 2
|
|
TOTAL_TIMESTEPS: 1000
|
|
timeout: 600
|
|
21_rl_execution_hedging/02_optimal_execution_ppo:
|
|
parameters:
|
|
TOTAL_TIMESTEPS: 1000
|
|
timeout: 600
|
|
21_rl_execution_hedging/03_market_making_ppo:
|
|
gpu: true
|
|
parameters:
|
|
TOTAL_TIMESTEPS: 1000
|
|
timeout: 600
|
|
21_rl_execution_hedging/04_crypto_execution_rl:
|
|
parameters:
|
|
TOTAL_TIMESTEPS: 1000
|
|
timeout: 600
|
|
21_rl_execution_hedging/05_deep_hedging_pfhedge:
|
|
docker_env: py312
|
|
gpu: true
|
|
parameters:
|
|
N_EPOCHS: 2
|
|
N_PATHS: 100
|
|
requires_import: pfhedge
|
|
timeout: 600
|
|
21_rl_execution_hedging/06_inverse_reinforcement_learning:
|
|
parameters:
|
|
IRL_ITERATIONS: 10
|
|
N_EXPERT_TRAJECTORIES: 20
|
|
timeout: 600
|
|
21_rl_execution_hedging/07_backtest_with_impact:
|
|
parameters:
|
|
COHORT_SAMPLE: 10
|
|
timeout: 300
|
|
22_rag_financial_research/01_sec_filing_pipeline:
|
|
parameters:
|
|
TICKERS:
|
|
- AAPL
|
|
YEARS:
|
|
- 2024
|
|
timeout: 300
|
|
22_rag_financial_research/02_domain_embeddings_comparison:
|
|
parameters:
|
|
MAX_DOCUMENTS: 50
|
|
MAX_QUERIES: 10
|
|
USE_LOCAL_MODELS_ONLY: true
|
|
skip: true
|
|
skip_reason: Requires RAG infrastructure (chromadb + embedding models) not provisioned in CI
|
|
tier: weekly
|
|
timeout: 300
|
|
22_rag_financial_research/03_hybrid_retrieval:
|
|
parameters:
|
|
MAX_DOCUMENTS: 50
|
|
MAX_QUERIES: 10
|
|
TOP_K: 5
|
|
skip: true
|
|
skip_reason: Requires RAG infrastructure (chromadb + embedding models) not provisioned in CI
|
|
tier: weekly
|
|
timeout: 300
|
|
22_rag_financial_research/04_ragas_evaluation:
|
|
parameters:
|
|
MAX_SAMPLES: 10
|
|
skip: true
|
|
skip_reason: Requires OpenAI API access for ragas evaluator LLM
|
|
tier: weekly
|
|
timeout: 300
|
|
22_rag_financial_research/05_10k_rag_assistant:
|
|
skip: true
|
|
skip_reason: Requires RAG infrastructure (chromadb + embedding models) not provisioned in CI
|
|
tier: weekly
|
|
timeout: 300
|
|
22_rag_financial_research/06_esg_rag_vs_finetune:
|
|
gpu: true
|
|
parameters:
|
|
MAX_HEADLINES: 50
|
|
MAX_QUESTIONS: 10
|
|
timeout: 300
|
|
22_rag_financial_research/07_institutional_holdings_graph:
|
|
parameters:
|
|
MAX_INSTITUTIONS: 10
|
|
NUM_QUARTERS: 2
|
|
timeout: 300
|
|
22_rag_financial_research/08_rag_security:
|
|
parameters:
|
|
MAX_ATTACK_CASES: 5
|
|
skip: true
|
|
skip_reason: Requires RAG infrastructure (chromadb + embedding models) not provisioned in CI
|
|
tier: weekly
|
|
timeout: 300
|
|
23_knowledge_graphs/08_8k_event_extraction:
|
|
docker_env: ml4t+neo4j+gpu
|
|
gpu: true
|
|
parameters:
|
|
MAX_ENTITIES: 20
|
|
MAX_FILINGS: 5
|
|
timeout: 600
|
|
23_knowledge_graphs/07_dynamic_kg_temporal:
|
|
docker_env: ml4t+neo4j
|
|
parameters:
|
|
MAX_INSTITUTIONS: 10
|
|
MAX_QUARTERS: 2
|
|
skip: true
|
|
skip_reason: Requires 08_8k_event_extraction with GPU to generate temporal edges
|
|
tier: on_demand
|
|
timeout: 600
|
|
23_knowledge_graphs/06_gnn_feature_engineering:
|
|
gpu: true
|
|
parameters:
|
|
N_EPOCHS: 2
|
|
timeout: 600
|
|
23_knowledge_graphs/03_graph_rag_qa:
|
|
parameters:
|
|
MAX_QUERIES: 5
|
|
timeout: 300
|
|
23_knowledge_graphs/05_institutional_holdings_kg:
|
|
docker_env: ml4t+neo4j
|
|
parameters:
|
|
MAX_INSTITUTIONS: 10
|
|
NUM_QUARTERS: 2
|
|
timeout: 600
|
|
23_knowledge_graphs/09_knowledge_graph_features:
|
|
docker_env: ml4t+neo4j
|
|
parameters:
|
|
MAX_SYMBOLS: 10
|
|
skip: true
|
|
skip_reason: Requires 02_supply_chain_kg_construction with GPU to populate Neo4j
|
|
tier: on_demand
|
|
timeout: 600
|
|
23_knowledge_graphs/10_network_portfolio_construction:
|
|
docker_env: ml4t+neo4j
|
|
timeout: 300
|
|
23_knowledge_graphs/04_rag_comparison_benchmark:
|
|
timeout: 300
|
|
23_knowledge_graphs/01_sp100_sec_download:
|
|
skip: true
|
|
skip_reason: Writes to data volume (read-only in Docker)
|
|
23_knowledge_graphs/02_supply_chain_kg_construction:
|
|
docker_env: ml4t+neo4j+gpu
|
|
gpu: true
|
|
long_running: true
|
|
parameters:
|
|
MAX_COMPANIES: 3
|
|
skip_reason: Needs GPU + Neo4j
|
|
timeout: 1200
|
|
24_autonomous_agents/01_react_reasoning:
|
|
parameters:
|
|
LLM_PROVIDER: mock
|
|
MAX_STEPS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/02_tool_contracts:
|
|
parameters:
|
|
LLM_PROVIDER: mock
|
|
MAX_RESULTS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/03_state_and_memory:
|
|
parameters:
|
|
MAX_EVIDENCE_ITEMS: 5
|
|
timeout: 300
|
|
24_autonomous_agents/04_research_agent:
|
|
parameters:
|
|
LLM_PROVIDER: mock
|
|
MAX_SEARCH_RESULTS: 3
|
|
MAX_STEPS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/05_aggregation_math:
|
|
parameters:
|
|
N_FORECASTERS: 5
|
|
timeout: 300
|
|
24_autonomous_agents/06_multi_agent_research:
|
|
parameters:
|
|
LLM_PROVIDER: mock
|
|
MAX_SEARCH_RESULTS: 3
|
|
MAX_STEPS: 3
|
|
N_AGENTS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/07_adversarial_debate:
|
|
parameters:
|
|
DEBATE_ROUNDS: 2
|
|
LLM_PROVIDER: mock
|
|
MAX_STEPS: 3
|
|
N_AGENTS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/08_forecasting_pipeline:
|
|
parameters:
|
|
DEBATE_ROUNDS: 2
|
|
LLM_PROVIDER: mock
|
|
MAX_QUESTIONS: 2
|
|
MAX_SEARCH_RESULTS: 3
|
|
MAX_STEPS: 3
|
|
N_AGENTS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/09_evaluation_and_governance:
|
|
parameters:
|
|
DEBATE_ROUNDS: 2
|
|
LLM_PROVIDER: mock
|
|
MAX_STEPS: 3
|
|
N_AGENTS: 3
|
|
timeout: 300
|
|
24_autonomous_agents/10_framework_comparison:
|
|
parameters:
|
|
DEBATE_ROUNDS: 2
|
|
LLM_PROVIDER: mock
|
|
N_AGENTS: 3
|
|
SUPERVISOR_QUERIES: 1
|
|
skip: true
|
|
skip_reason: Requires 'langgraph' (not in CI image)
|
|
tier: weekly
|
|
timeout: 300
|
|
24_autonomous_agents/11_research_operator:
|
|
skip: true
|
|
skip_reason: Requires ~/ml4t/skills/ repo (not in CI workspace)
|
|
tier: weekly
|
|
timeout: 300
|
|
25_live_trading/01_unified_framework_demo:
|
|
timeout: 180
|
|
25_live_trading/02_etfs_deployment_loop:
|
|
parameters:
|
|
REFRESH_DATA: false
|
|
skip: true
|
|
skip_reason: Requires running IB Gateway (not available in CI)
|
|
tier: weekly
|
|
timeout: 360
|
|
25_live_trading/03_ib_paper_trading_demo:
|
|
skip: true
|
|
skip_reason: Requires running IB Gateway on 127.0.0.1:7497
|
|
tier: weekly
|
|
timeout: 180
|
|
25_live_trading/04_alpaca_paper_trading_demo:
|
|
parameters:
|
|
LIVE_FEED: 0
|
|
SIMULATION_STEPS: 5
|
|
timeout: 180
|
|
25_live_trading/05_alpaca_crypto_live_demo:
|
|
parameters:
|
|
LIVE_FEED: 0
|
|
SIMULATION_STEPS: 5
|
|
timeout: 180
|
|
25_live_trading/06_quantconnect_case_study:
|
|
timeout: 180
|
|
25_live_trading/07_order_state_machine:
|
|
timeout: 180
|
|
25_live_trading/08_pipeline_verification:
|
|
timeout: 360
|
|
25_live_trading/09_crypto_funding_deployment_loop:
|
|
parameters:
|
|
EVALUATION_INTERVAL_SECONDS: 1
|
|
MAX_ITERATIONS: 1
|
|
skip: true
|
|
skip_reason: Requires OKX SDK + live exchange credentials (not in CI image)
|
|
tier: weekly
|
|
timeout: 180
|
|
25_live_trading/10_safety_risk_demo:
|
|
timeout: 180
|
|
25_live_trading/11_fx_deployment_loop:
|
|
parameters:
|
|
EVALUATION_INTERVAL_SECONDS: 1
|
|
MAX_ITERATIONS: 1
|
|
skip: true
|
|
skip_reason: Requires running IB Gateway (not available in CI)
|
|
tier: weekly
|
|
timeout: 180
|
|
25_live_trading/12_ib_basket_rebalance_demo:
|
|
skip: true
|
|
skip_reason: Requires live TWS or IB Gateway paper session on 127.0.0.1:7497; no silent fallback.
|
|
tier: weekly
|
|
timeout: 180
|
|
25_live_trading/13_runtime_safety_showcase:
|
|
parameters:
|
|
HEALTH_OBSERVATION_SECONDS: 4
|
|
KILL_SWITCH_LOSS_USD: 1000.0
|
|
STALE_DATA_WAIT_SECONDS: 1.5
|
|
timeout: 120
|
|
26_mlops_governance/01_drift_monitoring:
|
|
timeout: 300
|
|
26_mlops_governance/02_online_drift_detection:
|
|
timeout: 300
|
|
26_mlops_governance/03_safe_model_rollout:
|
|
skip: true
|
|
skip_reason: "Synthetic CI predictions (seed_results.py) span only holdout_start±2y;
|
|
notebook hardcodes SELECTION=2010-2014, ROLLOUT=2015. us_equities_panel synthetic preds
|
|
cover 2014-01 to 2016-06 with only ~13 rebalance dates in the rollout window, so the
|
|
shadow/AB/staged slicing (rollout_dates[:63][63:189][189:]) collapses ab_dates to empty
|
|
and ab_pivot has no model columns — KeyError 'linear_ols'. Un-skip when seed_results
|
|
can produce predictions spanning the notebook's date windows, or rewrite the notebook
|
|
to derive windows from the data."
|
|
timeout: 300
|
|
26_mlops_governance/04_circuit_breakers:
|
|
timeout: 300
|
|
26_mlops_governance/05_feast_feature_store:
|
|
timeout: 300
|
|
26_mlops_governance/05b_feast_live:
|
|
timeout: 300
|
|
26_mlops_governance/06_mlflow_experiments:
|
|
timeout: 300
|
|
case_studies/cme_futures/01_feasibility_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/cme_futures/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/cme_futures/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/cme_futures/04_model_based_features:
|
|
parameters:
|
|
FFT_WINDOW: 126
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_PRODUCTS: 3
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
skip: true
|
|
skip_reason: ARIMA/HMM/FFT cells across multiple products and folds exceed 900s on the slower pymc 5.28 / pytensor 2.38
|
|
/ numpy 2.3 stack. All downstream notebooks consume the pre-seeded test-data/intermediates/cme_futures/features and pass;
|
|
regenerating in CI is redundant work. Re-enable when timing budget allows.
|
|
timeout: 900
|
|
case_studies/cme_futures/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/cme_futures/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/cme_futures/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/cme_futures/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/cme_futures/09_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/cme_futures/10_latent_factors:
|
|
parameters:
|
|
FORCE_RETRAIN: true
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
N_FACTORS: 2
|
|
timeout: 180
|
|
case_studies/cme_futures/10b_stochastic_discount_factor:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: case-study end-to-end pipeline times out or fails with trimmed test-data; needs full fixture rebuild'
|
|
case_studies/cme_futures/11_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/cme_futures/12_model_analysis:
|
|
timeout: 300
|
|
case_studies/cme_futures/13_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
TOP_N_PREDICTIONS: 2
|
|
timeout: 120
|
|
case_studies/cme_futures/14_portfolio_management: &id001
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_PREDICTIONS: 2
|
|
timeout: 300
|
|
case_studies/cme_futures/15_costs: &id002
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 1
|
|
timeout: 600
|
|
case_studies/cme_futures/16_risk_management: &id003
|
|
parameters:
|
|
MAX_RISK_VARIANTS: 3
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 1
|
|
timeout: 600
|
|
case_studies/cme_futures/17_strategy_analysis:
|
|
case_studies/crypto_perps_funding/01_feasibility_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2020-01-01'
|
|
timeout: 120
|
|
case_studies/crypto_perps_funding/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/crypto_perps_funding/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/crypto_perps_funding/04_model_based_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/crypto_perps_funding/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/crypto_perps_funding/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/crypto_perps_funding/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/crypto_perps_funding/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/crypto_perps_funding/09_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/crypto_perps_funding/10_dl_tcn:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
skip_reason: "Object dtype in prediction registration \u2014 needs investigation"
|
|
timeout: 180
|
|
case_studies/crypto_perps_funding/11_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/crypto_perps_funding/12_model_analysis:
|
|
timeout: 300
|
|
case_studies/crypto_perps_funding/13_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 600
|
|
case_studies/crypto_perps_funding/14_portfolio_management: *id001
|
|
case_studies/crypto_perps_funding/15_costs:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 1
|
|
timeout: 600
|
|
case_studies/crypto_perps_funding/16_risk_management:
|
|
parameters:
|
|
MAX_RISK_VARIANTS: 3
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 1
|
|
timeout: 600
|
|
case_studies/crypto_perps_funding/17_strategy_analysis:
|
|
case_studies/etfs/01_feasibility_analysis:
|
|
parameters:
|
|
ADV_THRESHOLD: 0
|
|
HOLDOUT_START: '2024-01-01'
|
|
MAX_SYMBOLS: 5
|
|
N_SPLITS: 3
|
|
START_DATE: '2000-01-01'
|
|
TEST_YEARS: 1
|
|
TRAIN_YEARS: 3
|
|
timeout: 120
|
|
case_studies/etfs/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/etfs/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/etfs/04_model_based_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/etfs/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/etfs/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/etfs/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/etfs/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/etfs/09_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/etfs/10_dl_tsmixer:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/etfs/11_latent_factors:
|
|
gpu: true
|
|
parameters:
|
|
FORCE_RETRAIN: true
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 2
|
|
N_FACTORS: 2
|
|
timeout: 900
|
|
case_studies/etfs/11c_conditional_autoencoder:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: DL training (CAE) 300s timeout under trimmed test-data'
|
|
case_studies/etfs/11d_stochastic_discount_factor:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: DL training (SDF) 300s timeout under trimmed test-data'
|
|
case_studies/etfs/11e_supervised_autoencoder:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: DL training (SAE) 300s timeout under trimmed test-data'
|
|
case_studies/etfs/12_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 3000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 5
|
|
timeout: 120
|
|
case_studies/etfs/13_model_analysis:
|
|
timeout: 300
|
|
case_studies/etfs/14_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 600
|
|
case_studies/etfs/15_portfolio_management:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_PREDICTIONS: 2
|
|
timeout: 120
|
|
case_studies/etfs/16_costs:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 2
|
|
timeout: 120
|
|
case_studies/etfs/17_risk_management:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_N_COMBOS: 2
|
|
timeout: 120
|
|
case_studies/etfs/18_strategy_analysis:
|
|
case_studies/fx_pairs/01_feasibility_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/fx_pairs/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/fx_pairs/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/fx_pairs/04_model_based_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
KALMAN_MAXITER: 50
|
|
MAX_FOLDS: 2
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_HMM_RESTARTS: 3
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/fx_pairs/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/fx_pairs/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/fx_pairs/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/fx_pairs/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/fx_pairs/09_dl_tcn:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/fx_pairs/10_dl_nlinear:
|
|
parameters:
|
|
BATCH_SIZE: 256
|
|
LOOKBACK: 10
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 2
|
|
timeout: 120
|
|
case_studies/fx_pairs/11_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/fx_pairs/12_model_analysis:
|
|
timeout: 300
|
|
case_studies/fx_pairs/13_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 600
|
|
case_studies/fx_pairs/14_portfolio_management: *id001
|
|
case_studies/fx_pairs/15_costs: *id002
|
|
case_studies/fx_pairs/16_risk_management: *id003
|
|
case_studies/fx_pairs/17_strategy_analysis:
|
|
case_studies/nasdaq100_microstructure/01_feasibility_analysis:
|
|
parameters:
|
|
ADV_THRESHOLD: 0
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/nasdaq100_microstructure/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/nasdaq100_microstructure/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/nasdaq100_microstructure/04_model_based_features:
|
|
long_running: true
|
|
parameters:
|
|
END_DATE: '2021-12-31'
|
|
MAX_SYMBOLS: 3
|
|
START_DATE: '2021-06-01'
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/nasdaq100_microstructure/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/nasdaq100_microstructure/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/08_dl_nlinear:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/09_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/10_dl_tcn:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/11_dl_patchtst:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 24
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/12_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 900
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/nasdaq100_microstructure/13_model_analysis:
|
|
timeout: 300
|
|
case_studies/nasdaq100_microstructure/14_backtest:
|
|
parameters:
|
|
# Test data has 6 nasdaq symbols; the slot grid's smallest max_slots (5)
|
|
# needs n_assets > 5, so cap at 6 (not 5) or every scheme is filtered out.
|
|
MAX_SYMBOLS: 6
|
|
TOP_K: 2
|
|
TOP_N_PREDICTIONS: 2
|
|
timeout: 180
|
|
case_studies/nasdaq100_microstructure/15_portfolio_management: *id001
|
|
case_studies/nasdaq100_microstructure/16_costs:
|
|
timeout: 600
|
|
case_studies/nasdaq100_microstructure/17_risk_management: *id003
|
|
case_studies/nasdaq100_microstructure/18_strategy_analysis:
|
|
skip: true
|
|
skip_reason: "Analyzes the cost-feasible ensemble carrier, which is registered out-of-band (session_6/7 drivers) and is not reproduced by the in-notebook test sweep, so an isolated test registry has no carrier rows. Runs clean in production."
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 180
|
|
case_studies/sp500_equity_option_analytics/01_feasibility_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/sp500_equity_option_analytics/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/sp500_equity_option_analytics/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/sp500_equity_option_analytics/04_model_based_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/sp500_equity_option_analytics/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/sp500_equity_option_analytics/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/sp500_equity_option_analytics/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/sp500_equity_option_analytics/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_equity_option_analytics/09_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_equity_option_analytics/10_dl_patchtst:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 24
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_equity_option_analytics/11_latent_factors:
|
|
parameters:
|
|
FORCE_RETRAIN: true
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
N_FACTORS: 2
|
|
timeout: 600
|
|
case_studies/sp500_equity_option_analytics/11a_pca: {}
|
|
case_studies/sp500_equity_option_analytics/11b_ipca: {}
|
|
case_studies/sp500_equity_option_analytics/12_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 3000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 5
|
|
timeout: 120
|
|
case_studies/sp500_equity_option_analytics/13_model_analysis:
|
|
timeout: 300
|
|
case_studies/sp500_equity_option_analytics/14_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 3
|
|
TOP_K: 1
|
|
timeout: 600
|
|
case_studies/sp500_equity_option_analytics/15_portfolio_management: *id001
|
|
case_studies/sp500_equity_option_analytics/16_costs: *id002
|
|
case_studies/sp500_equity_option_analytics/17_risk_management: *id003
|
|
case_studies/sp500_equity_option_analytics/18_strategy_analysis:
|
|
case_studies/sp500_options/01_feasibility_analysis:
|
|
parameters:
|
|
ADV_THRESHOLD: 0
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/sp500_options/02_labels:
|
|
timeout: 300
|
|
case_studies/sp500_options/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
timeout: 120
|
|
case_studies/sp500_options/04_model_based_features:
|
|
gpu: true
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 2
|
|
timeout: 300
|
|
case_studies/sp500_options/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/sp500_options/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/sp500_options/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/sp500_options/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_options/09_deep_learning:
|
|
timeout: 60
|
|
case_studies/sp500_options/09a_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_options/09b_patchtst:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 24
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/sp500_options/10_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/sp500_options/11_model_analysis:
|
|
timeout: 300
|
|
case_studies/sp500_options/12_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 120
|
|
case_studies/sp500_options/13_portfolio_management:
|
|
skip: true
|
|
skip_reason: "Depends on 12_backtest signal-stage results — see that entry's skip_reason."
|
|
case_studies/sp500_options/14_costs: {}
|
|
case_studies/sp500_options/15_risk_management:
|
|
skip: true
|
|
skip_reason: "Depends on 13_portfolio_management allocation-stage results — see 12_backtest entry."
|
|
case_studies/sp500_options/16_strategy_analysis:
|
|
skip: true
|
|
skip_reason: 'Depends on 13_portfolio_management allocation-stage results — see 12_backtest entry.'
|
|
case_studies/sp500_options/90_ic_diagnostic:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/us_equities_panel/01_feasibility_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/us_equities_panel/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/us_equities_panel/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 600
|
|
case_studies/us_equities_panel/04_model_based_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 300
|
|
case_studies/us_equities_panel/05_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/us_equities_panel/06_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/us_equities_panel/07_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/us_equities_panel/08_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 20
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/us_equities_panel/09_dl_nlinear:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/us_equities_panel/10_dl_lstm:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/us_equities_panel/11_dl_tsmixer:
|
|
# Pin a small symbol whitelist that exists in the reduced test-data raw panel
|
|
# (load_us_equities) so the Darts horizon-aware base-target join is non-empty.
|
|
# The default MAX_SYMBOLS top-by-history selection picks production symbols
|
|
# absent from the sampled raw panel; SYMBOLS overrides it. Sibling lstm/nlinear
|
|
# use a non-Darts path and don't need this.
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
SYMBOLS: [AAPL, AMD, AIG, AMAT, BAC]
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/us_equities_panel/12_dl_weekly:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
LOOKBACK: 5
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
timeout: 600
|
|
case_studies/us_equities_panel/13_latent_factors:
|
|
parameters:
|
|
FORCE_RETRAIN: true
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 1
|
|
N_FACTORS: 2
|
|
timeout: 600
|
|
case_studies/us_equities_panel/13a_pca:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: DL training stage 300s timeout under trimmed test-data; needs full fixture rebuild'
|
|
case_studies/us_equities_panel/13b_ipca:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: DL training stage 300s timeout under trimmed test-data; needs full fixture rebuild'
|
|
case_studies/us_equities_panel/14_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/us_equities_panel/15_model_analysis:
|
|
timeout: 300
|
|
case_studies/us_equities_panel/16_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 600
|
|
case_studies/us_equities_panel/17_portfolio_management: *id001
|
|
case_studies/us_equities_panel/18_costs: *id002
|
|
case_studies/us_equities_panel/19_risk_management: *id003
|
|
case_studies/us_equities_panel/20_strategy_analysis:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 600
|
|
case_studies/us_firm_characteristics/01_feasibility_analysis:
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/02_labels:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/03_financial_features:
|
|
parameters:
|
|
GARCH_MIN_OBS: 50
|
|
HMM_N_RESTARTS: 1
|
|
MAX_SAMPLE_ASSETS: 3
|
|
MAX_SYMBOLS: 5
|
|
MIN_OBS: 10
|
|
MIN_TRAIN_BARS: 10
|
|
N_RESTARTS: 1
|
|
START_DATE: '2000-01-01'
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/04_evaluation:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
timeout: 300
|
|
case_studies/us_firm_characteristics/05_linear:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/06_gbm:
|
|
parameters:
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
NUM_BOOST_ROUND: 5
|
|
timeout: 180
|
|
case_studies/us_firm_characteristics/07_tabular_dl:
|
|
parameters:
|
|
BATCH_SIZE: 32
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 30
|
|
N_EPOCHS: 1
|
|
timeout: 180
|
|
case_studies/us_firm_characteristics/08_latent_factors:
|
|
gpu: true
|
|
parameters:
|
|
FORCE_RETRAIN: true
|
|
MAX_FOLDS: 2
|
|
MAX_SYMBOLS: 5
|
|
N_EPOCHS: 2
|
|
N_FACTORS: 2
|
|
timeout: 300
|
|
case_studies/us_firm_characteristics/08c_stochastic_discount_factor:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: case-study end-to-end pipeline times out or fails with trimmed test-data; needs full fixture rebuild'
|
|
case_studies/us_firm_characteristics/08d_supervised_autoencoder:
|
|
skip: true
|
|
skip_reason: 'TEMPORARY: case-study end-to-end pipeline times out or fails with trimmed test-data; needs full fixture rebuild'
|
|
case_studies/us_firm_characteristics/09_causal_dml:
|
|
parameters:
|
|
CV_FOLDS: 2
|
|
MAX_SAMPLES: 5000
|
|
MAX_SYMBOLS: 5
|
|
N_PLACEBO: 10
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/10_model_analysis:
|
|
timeout: 300
|
|
case_studies/us_firm_characteristics/11_backtest:
|
|
parameters:
|
|
MAX_SYMBOLS: 5
|
|
TOP_K: 2
|
|
timeout: 120
|
|
case_studies/us_firm_characteristics/12_portfolio_management: *id001
|
|
case_studies/us_firm_characteristics/13_costs: *id002
|
|
case_studies/us_firm_characteristics/14_risk_management: *id003
|
|
case_studies/us_firm_characteristics/15_strategy_analysis:
|
|
skip: true
|
|
skip_reason: "Test-data load_firm_characteristics() returns 80 firms/day; the NB's liquidity-profile section requires >=100 firms/day. Needs expanded test-data fixture (>=100 firms) before this NB can run under MAX_SYMBOLS=5."
|
|
data/crypto/dataset_card:
|
|
skip: true
|
|
skip_reason: Data download notebook (requires API access)
|
|
tier: weekly
|
|
data/equities/market/microstructure/dataset_card:
|
|
timeout: 120
|
|
data/equities/market/us_equities/dataset_card:
|
|
skip: true
|
|
skip_reason: Data download notebook (requires API access)
|
|
tier: weekly
|
|
data/factors/dataset_card:
|
|
timeout: 120
|
|
data/fx/dataset_card:
|
|
skip: true
|
|
skip_reason: Data download notebook (requires API access)
|
|
tier: weekly
|