Case Studies

All nine case studies use ml4t.diagnostic, but they do not all hit the same surface area. This page shows where the library appears in the end-to-end workflow.

Shared Patterns

Across case studies, the recurring entry points are:

• 05_evaluation.py for HAC-adjusted IC and FDR-controlled feature screening
• *_backtest.py for portfolio evaluation and reporting
• *_portfolio_management.py for allocator comparison via PortfolioAnalysis
• *_costs.py for cost-aware performance diagnostics
• *_risk_management.py for risk decomposition, barrier analysis, or exposure work
• *_strategy_analysis.py for synthesis and cross-model comparison

Case-Study Map

Case study	Evaluation	Backtest and portfolio	Costs and risk
CME Futures	case_studies/cme_futures/05_evaluation.py	case_studies/cme_futures/16_backtest.py, case_studies/cme_futures/17_portfolio_management.py	case_studies/cme_futures/18_costs.py, case_studies/cme_futures/19_risk_management.py, case_studies/cme_futures/20_strategy_analysis.py
Crypto Perps Funding	case_studies/crypto_perps_funding/05_evaluation.py	case_studies/crypto_perps_funding/14_backtest.py, case_studies/crypto_perps_funding/15_portfolio_management.py	case_studies/crypto_perps_funding/16_costs.py, case_studies/crypto_perps_funding/17_risk_management.py, case_studies/crypto_perps_funding/18_strategy_analysis.py
ETFs	case_studies/etfs/05_evaluation.py	case_studies/etfs/15_backtest.py, case_studies/etfs/16_portfolio_management.py	case_studies/etfs/17_costs.py, case_studies/etfs/18_risk_management.py, case_studies/etfs/19_strategy_analysis.py
FX Pairs	case_studies/fx_pairs/05_evaluation.py	Backtest and portfolio stages are introduced later in the sequence for this study	Evaluation is the main current ml4t.diagnostic touchpoint
Nasdaq100 Microstructure	case_studies/nasdaq100_microstructure/05_evaluation.py	case_studies/nasdaq100_microstructure/14_backtest.py, case_studies/nasdaq100_microstructure/15_portfolio_management.py	case_studies/nasdaq100_microstructure/16_costs.py, case_studies/nasdaq100_microstructure/17_risk_management.py, case_studies/nasdaq100_microstructure/18_strategy_analysis.py
S&P 500 Equity Option Analytics	case_studies/sp500_equity_option_analytics/05_evaluation.py	case_studies/sp500_equity_option_analytics/14_backtest.py, case_studies/sp500_equity_option_analytics/15_portfolio_management.py	case_studies/sp500_equity_option_analytics/16_costs.py, case_studies/sp500_equity_option_analytics/17_risk_management.py, case_studies/sp500_equity_option_analytics/18_strategy_analysis.py
S&P 500 Options	case_studies/sp500_options/06_evaluation.py	case_studies/sp500_options/16_backtest.py, case_studies/sp500_options/17_portfolio_management.py	case_studies/sp500_options/18_costs.py, case_studies/sp500_options/19_risk_management.py, case_studies/sp500_options/20_strategy_analysis.py
US Equities Panel	case_studies/us_equities_panel/05_evaluation.py	case_studies/us_equities_panel/17_backtest.py, case_studies/us_equities_panel/18_portfolio_management.py	case_studies/us_equities_panel/19_costs.py, case_studies/us_equities_panel/20_risk_management.py, case_studies/us_equities_panel/21_strategy_analysis.py
US Firm Characteristics	case_studies/us_firm_characteristics/05_evaluation.py	case_studies/us_firm_characteristics/16_backtest.py, case_studies/us_firm_characteristics/17_portfolio_management.py	case_studies/us_firm_characteristics/18_costs.py, case_studies/us_firm_characteristics/19_risk_management.py, case_studies/us_firm_characteristics/20_strategy_analysis.py

Shared Book Utilities

Several book utilities wrap the production API so readers can reuse a stable interface across chapters and case studies:

• code/case_studies/utils/backtest_loaders.py
• code/case_studies/utils/backtest_stats.py
• code/case_studies/utils/backtest_tearsheets.py
• code/case_studies/utils/factor_attribution.py

These helpers are useful when reading the book, but for reusable application code the library APIs in the main docs are the intended entry points.