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meta-labeling-alpha-filter

Systematic signal refinement: PIT data → triple-barrier labels → LGBM/MLP → calibrated classwise blend → probability-weighted portfolio with realistic costs.

backtesting calibration finance lightgbm-classifier machine-learning meta-labeling momentum multi-layer-perceptron quant stacking

Creat：2025-07-04T22:31:48

Update：2025-08-26T20:23:22

https://github.com/gautierpetit/meta-labeling-alpha-filter/blob/main/docs/Meta-Labeling%20Alpha%20Filter%20-%20Case%20Report.pdf

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