For the past two decades, TPT’s researchers have made some of the most impactful innovations in financial machine learning, covering every stage of the investment process. These contributions include:

• Feature engineering: Order imbalance sampling; the triple-barrier method; trend-scanning labels; volume-synchronized probability of informed trading

• Strategy development: Stochastic flow diagrams

• Bet sizing: Meta-labeling

• Backtesting: Combinatorially-purged cross-validation; Monte Carlo backtests

• Strategy selection: The deflated Sharpe ratio; the probability of backtest overfitting; the “false strategy” theorem

• Portfolio construction: Hierarchical risk parity; nested clustered optimization