9 Real-World Case Studies
Data-driven trading strategies across 7 asset classes, from ETFs to crypto, with complete ML4T workflow implementations.
ETF Cross-Asset Exposures
Daily · Price Data · 114 notebooks
This case study applies the complete ML4T workflow to 100 exchange-traded funds covering equities, fixed income, commodities, currencies, and real estate. ETFs provide standardized pricing, deep liquidity, and broad asset-class coverage, making them an ideal laboratory for learning the end-to-end …
Crypto Perpetuals Funding
8-Hour · Alternative Data · 108 notebooks
This case study explores a structural feature unique to crypto markets: the funding rate mechanism in perpetual futures contracts. Every 8 hours, longs and shorts exchange payments based on the gap between perpetual and spot prices. The question is whether …
NASDAQ-100 Microstructure
15-Minute · Microstructure · 108 notebooks
This is the highest-frequency case study in the book, using AlgoSeek TAQ-derived 15-minute bars for 114 NASDAQ-100 constituents. Students learn to build features from order flow, quote staleness, relative spreads, and other microstructure indicators — the richest feature space in …
S&P 500 Equity + Option Analytics
Daily · Price Data · 108 notebooks
This case study uses options-derived signals to predict equity returns — not to trade options directly. Implied volatility surfaces, skew measurements, and term structure features from the S&P 500 options market are combined with standard equity features to predict 5-day …
US Firm Characteristics
Monthly · Fundamental Data · 114 notebooks
This case study applies ML to the canonical factor investing question: can machine learning improve on traditional long-short decile sorts when accounting lags, survivorship bias, and transaction costs are taken seriously? Working with 57 firm-level characteristics spanning valuation, profitability, momentum, …
FX Spot Pairs
Daily · Price Data · 102 notebooks
This case study applies the ML4T workflow to 20 G10 currency pairs using daily data from OANDA. Foreign exchange presents a structurally challenging prediction problem: the cross-section is small (20 pairs dominated by a single USD factor), limiting diversification and …
CME Futures
Daily · Price Data · 114 notebooks
This case study uses daily data from Databento for 30 CME futures products across 7 sectors — equity indices, treasuries, energy, metals, currencies, agriculture, and livestock. Futures have a unique return decomposition (spot return plus roll yield), natural sector groupings, …
S&P 500 Options (Straddles)
Daily · Price Data · 114 notebooks
Unlike the equity+options case study that uses options data to predict stocks, this case study trades options directly. It sells ATM straddles on S&P 500 constituents and delta-hedges daily, testing whether the variance risk premium — the persistent gap between …
US Equities Panel
Daily · Price Data · 126 notebooks
This is the broadest cross-sectional equity workflow in the book, using daily data for approximately 3,200 US stocks spanning 2000-2018. The case study tests whether individually weak per-stock signals become useful when scaled across thousands of names — the Fundamental …
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