mlfinprop is a proprietary library which extends mlfinlab open-source package with various research tools: advanced correlation modelling, position sizing, optimal trading rules detection, improved Sequential Bootstrapping.

Backtesting platform

Researcher needs to take into account both transaction and execution costs while labeling financial data sets. Our backtesting platform can loop through millions of quotes and trades to model position entry and exit. Strategy backtesting also includes parameter optimization and various validation techniques: Walk-Forward, Combinatorial Purged Cross-Validation (CPCV).

Data warehouse

Financial machine learning requires data... lots of data. We collect, process and store terabytes of market, fundamental and alternative data in our high-performance, scalable database which is used in our research.