Learn then Test: Calibrating Predictive Algorithms to Achieve Risk Control
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Nov 17, 2024 - Jupyter Notebook
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The MultipleTesting package offers common algorithms for p-value adjustment and combination and more…
Solutions of applied exercises contained in "An Introduction to Statistical Learning with Applications in Python", by Tibshirani et al, edition 2023
python machine-learning deep-learning clustering statistical-learning regression exercise classification survival-analysis multiple-testing support-vector-machines self-learning python-codes resampling-methods applied-exercises tree-based-methods islp shrinkage-approaches
Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening many strategies
statistics sharpe-ratio quantitative-finance multiple-testing hypothesis-testing false-discovery-rate backtesting probabilistic-sharpe-ratio
Statistical inference of recent positive selection using IBD segments
statistical-inference multiple-testing coalescent selective-sweeps automated-workflows selection-scans case-control-scans
Repository for R and Python packages and reproduction codes in Weighted Conformalized Selection paper
This repository contains a collection of functions to evaluate investment strategies regarding multiple testing concerns.
python r matlab stata sharpe-ratio quantitative-finance multiple-testing t-statistic investment-strategy
A Shiny app for graphical multiplicity control
r-package multiple-testing clinical-trial-design multiplicity rshiny-application group-sequential-designs graphical-approach
Fast exact grid search and backtesting of moving-average crossover strategies, with vectorized evaluation and multiple-testing-aware Sharpe diagnostics.
sharpe-ratio quantitative-finance multiple-testing yahoo-finance backtesting backtesting-frameworks moving-average-crossover deflated-sharpe-ratio backtesting-tools trading-strategy-simulation deflated-sharpe
Sequential Hypothesis Testing with e-Values and p-Values
multiple-testing false-discovery-rate lord addis saffron sequential-testing lond alpha-investing online-fdr online-multiple-testing
A FDR controlling procedure based on hidden Markov random field (Biometrics-15 paper)
Calibration-driven A/B testing toolkit: SRM, CUPED/CUPAC, delta-method ratio metrics, sequential and Bayesian methods, each validated by tests.
bootstrap statistics experimentation ab-testing bayesian-inference multiple-testing cuped sequential-testing
Causal Inference for Genomic Data with Multiple Heterogeneous Outcomes
LLM-driven evolutionary alpha factor mining on S&P 500 stocks (CRSP, 2000-2025): six search arms (five Claude, one genetic programming) against random formulas and Alpha101, with an 18-niche archive, Holm-corrected holdout tests and prompt-to-factor lineage.
python genetic-programming evolutionary-algorithms quantitative-finance multiple-testing factor-investing alpha-factors large-language-models
Fixed Sequence Multiple Testing Procedures
NumPy-only Independent Hypothesis Weighting for covariate-weighted multiple testing, with transparent validation and performance benchmarks.
python bioinformatics statistics numpy biostatistics scientific-computing multiple-testing hypothesis-testing false-discovery-rate fdr independent-hypothesis-weighting
Monte Carlo audit of multiple-testing procedures under block dependence
Multi-agent autoresearch loop for quant strategies, with a multiple-testing-corrected keep/discard gate (FWER 0.06). UIUC MSFE × QuantStrat practicum.
python quantitative-finance multiple-testing futures algorithmic-trading hypothesis-testing multi-agent-systems backtesting llm-agents
Backtest overfitting audit for factor research: probability of backtest overfitting (PBO), deflated Sharpe ratio, point-in-time data, purged walk-forward. Searches published factor libraries and reports what actually survived costs.
python research reproducible-research quant quantitative-finance multiple-testing pbo backtesting point-in-time overfitting factor-investing alpha-factors quantitative-research research-integrity alpha-research factor-research deflated-sharpe-ratio backtest-overfitting cscv purged-walk-forward
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