ML

ML contains reusable model training, prediction, ML factor, and sparse fitting helpers. It should produce predictions, ranks, labels, or weight matrices; return accounting belongs in skills.backtest.

Install model dependencies with uv sync --extra ml.

Public API

from skills.ml.ml_engine import MLEngine, ModelPredictor
from skills.ml.ml_factor import MLFactorEngine, make_precomputed_factor
from skills.ml.lasso_tracker import lasso_track
from skills.ml.pca_fold import fit_fold_transform, make_regressor
from skills.ml.walk_forward import date_level_mask, expanding_purged_folds

Components