bbstrader 0.2.93__py3-none-any.whl → 0.2.95__py3-none-any.whl

bbstrader/models/ml.py

@@ -1,1272 +1,1272 @@
-import os
-import warnings
-from datetime import datetime
-from itertools import product
-from time import time
-
-import lightgbm as lgb
-import matplotlib.pyplot as plt
-import numpy as np
-import pandas as pd
-import seaborn as sns
-
-import yfinance as yf
-from alphalens import performance as perf
-from alphalens import plotting
-from alphalens.tears import create_full_tear_sheet, create_summary_tear_sheet
-from alphalens.utils import (
-    get_clean_factor_and_forward_returns,
-    rate_of_return,
-    std_conversion,
-)
-from scipy.stats import spearmanr
-from sklearn.preprocessing import LabelEncoder, StandardScaler
-import pandas_ta as ta
-
-warnings.filterwarnings("ignore")
-
-
-__all__ = ["OneStepTimeSeriesSplit", "MultipleTimeSeriesCV", "LightGBModel"]
-
-
-class OneStepTimeSeriesSplit:
-    __author__ = "Stefan Jansen"
-    """Generates tuples of train_idx, test_idx pairs
-    Assumes the index contains a level labeled 'date'"""
-
-    def __init__(self, n_splits=3, test_period_length=1, shuffle=False):
-        self.n_splits = n_splits
-        self.test_period_length = test_period_length
-        self.shuffle = shuffle
-
-    @staticmethod
-    def chunks(l, n):  # noqa: E741
-        for i in range(0, len(l), n):
-            yield l[i : i + n]
-
-    def split(self, X: pd.DataFrame, y=None, groups=None):
-        unique_dates = (
-            X.index.get_level_values("date")
-            .unique()
-            .sort_values(ascending=False)[: self.n_splits * self.test_period_length]
-        )
-
-        dates = X.reset_index()[["date"]]
-        for test_date in self.chunks(unique_dates, self.test_period_length):
-            train_idx = dates[dates.date < min(test_date)].index
-            test_idx = dates[dates.date.isin(test_date)].index
-            if self.shuffle:
-                np.random.shuffle(list(train_idx))
-            yield train_idx, test_idx
-
-    def get_n_splits(self, X, y, groups=None):
-        return self.n_splits
-
-
-class MultipleTimeSeriesCV:
-    __author__ = "Stefan Jansen"
-    """
-    Generates tuples of train_idx, test_idx pairs
-    Assumes the MultiIndex contains levels 'symbol' and 'date'
-    purges overlapping outcomes
-    """
-
-    def __init__(
-        self,
-        n_splits=3,
-        train_period_length=126,
-        test_period_length=21,
-        lookahead=None,
-        date_idx="date",
-        shuffle=False,
-    ):
-        self.n_splits = n_splits
-        self.lookahead = lookahead
-        self.test_length = test_period_length
-        self.train_length = train_period_length
-        self.shuffle = shuffle
-        self.date_idx = date_idx
-
-    def split(self, X: pd.DataFrame, y=None, groups=None):
-        unique_dates = X.index.get_level_values(self.date_idx).unique()
-        days = sorted(unique_dates, reverse=True)
-        split_idx = []
-        for i in range(self.n_splits):
-            test_end_idx = i * self.test_length
-            test_start_idx = test_end_idx + self.test_length
-            train_end_idx = test_start_idx + self.lookahead - 1
-            train_start_idx = train_end_idx + self.train_length + self.lookahead - 1
-            split_idx.append(
-                [train_start_idx, train_end_idx, test_start_idx, test_end_idx]
-            )
-
-        dates = X.reset_index()[[self.date_idx]]
-        for train_start, train_end, test_start, test_end in split_idx:
-            train_idx = dates[
-                (dates[self.date_idx] > days[train_start])
-                & (dates[self.date_idx] <= days[train_end])
-            ].index
-            test_idx = dates[
-                (dates[self.date_idx] > days[test_start])
-                & (dates[self.date_idx] <= days[test_end])
-            ].index
-            if self.shuffle:
-                np.random.shuffle(list(train_idx))
-            yield train_idx.to_numpy(), test_idx.to_numpy()
-
-    def get_n_splits(self, X, y, groups=None):
-        return self.n_splits
-
-
-class LightGBModel(object):
-    """
-    ``LightGBModel`` encapsulates a complete workflow for training and evaluating
-    a ``LightGBM (Light Gradient Boosting Machine)`` model for predicting stock returns.
-    It includes data acquisition, feature engineering, model tuning, and performance
-    evaluation using information ``coefficient (IC)`` and Alphalens analysis.
-
-    Key Features
-    ------------
-    - ``HDF5 Storage``: Utilizes ``pandas.HDFStore`` for efficient storage and retrieval
-      of large datasets, which is essential for backtesting on financial time series data.
-
-    - ``Time-Series Cross-Validation``: Employs a custom cross-validation strategy that
-      respects the time series nature of the data, avoiding data leakage.
-
-    - ``Hyperparameter Tuning``: Includes automated hyperparameter tuning using a randomized
-      grid search for optimization.
-
-    - ``Information Coefficient (IC)``: Uses IC as a core performance metric that quantifies
-      the predictive power of the model, which is a standard measure for ranking models in finance.
-
-    - ``Alphalens Integration``: Provides a comprehensive framework for validating model
-      performance using Alphalens, allowing for in-depth performance analysis, like backtesting
-      and return decomposition.
-
-    Use Case
-    --------
-    This class is designed for quantitative finance and algorithmic trading use cases where
-    the goal is to build a predictive model for stock returns based on historical data and
-    technical indicators. It follows a complete cycle from data acquisition to model validation
-    and provides the infrastructure needed for deployment of this model in a trading strategy.
-
-    Notes
-    -----
-    The implementation is inspired by the book "Machine Learning for Algorithmic Trading"
-    by Stefan Jansen.
-
-    References
-    ----------
-    Stefan Jansen (2020). Machine Learning for Algorithmic Trading - Second Edition.
-    Chapter 12, Boosting Your Trading Strategy.
-    """
-
-    def __init__(
-        self,
-        data: pd.DataFrame = None,
-        datastore: pd.HDFStore = "lgbdata.h5",
-        trainstore: pd.HDFStore = "lgbtrain.h5",
-        outstore: pd.HDFStore = "lgbout.h5",
-    ):
-        """
-        Args:
-            data (pd.DataFrame): The input data for the model. It should be a DataFrame with a MultiIndex containing
-            'symbol' and 'date' levels. If not provided, the data can be downloaded using the `download_boosting_data` method.
-            datastore (str): The path to the HDF5 file for storing the model data.
-            trainstore (str): The path to the HDF5 file for storing the training data.
-            outstore (str): The path to the HDF5 file for storing the output data.
-        """
-        self.datastore = datastore
-        self.trainstore = trainstore
-        self.outstore = outstore
-        if data is not None:
-            data.reset_index().to_hdf(path_or_buf=self.datastore, key="model_data")
-
-    def _compute_bb(self, close):
-        # Compute Bollinger Bands using pandas_ta
-        bb = ta.bbands(close, length=20)
-        return pd.DataFrame(
-            {"bb_high": bb["BBU_20_2.0"], "bb_low": bb["BBL_20_2.0"]}, index=close.index
-        )
-
-    def _compute_atr(self, stock_data):
-        # Compute ATR using pandas_ta
-        atr = ta.atr(stock_data.high, stock_data.low, stock_data.close, length=14)
-        return (atr - atr.mean()) / atr.std()
-
-    def _compute_macd(self, close):
-        # Compute MACD using pandas_ta
-        macd = ta.macd(close)["MACD_12_26_9"]
-        return (macd - macd.mean()) / macd.std()
-
-    def _add_technical_indicators(self, prices: pd.DataFrame):
-        prices = prices.copy()
-
-        # Add RSI and normalize
-        prices["rsi"] = (
-            prices.groupby(level="symbol")
-            .close.apply(lambda x: ta.rsi(x, length=14))
-            .reset_index(level=0, drop=True)
-        )
-
-        # Add Bollinger Bands
-        bb = prices.groupby(level="symbol").close.apply(self._compute_bb)
-        bb = bb.reset_index(level=1, drop=True)
-        prices = prices.join(bb)
-
-        prices["bb_high"] = (
-            prices.bb_high.sub(prices.close).div(prices.bb_high).apply(np.log1p)
-        )
-        prices["bb_low"] = (
-            prices.close.sub(prices.bb_low).div(prices.close).apply(np.log1p)
-        )
-
-        # Add ATR and normalize
-        prices["ATR"] = prices.groupby(level="symbol", group_keys=False).apply(
-            lambda x: self._compute_atr(x)
-        )
-
-        # Add MACD and normalize
-        prices["MACD"] = prices.groupby(level="symbol", group_keys=False).close.apply(
-            self._compute_macd
-        )
-
-        return prices
-
-    def download_boosting_data(self, tickers, start, end=None):
-        data = []
-        for ticker in tickers:
-            try:
-                prices = yf.download(
-                    ticker,
-                    start=start,
-                    end=end,
-                    progress=False,
-                    multi_level_index=False,
-                    auto_adjust=True,
-                )
-                prices["symbol"] = ticker
-                data.append(prices)
-            except:  # noqa: E722
-                continue
-        data = pd.concat(data)
-        data = (
-            data.rename(columns={s: s.lower().replace(" ", "_") for s in data.columns})
-            .drop(columns=["adj_close"])
-            .set_index("symbol", append=True)
-            .swaplevel()
-            .sort_index()
-            .dropna()
-        )
-        return data
-
-    def download_metadata(self, tickers):
-        def clean_text_column(series: pd.Series) -> pd.Series:
-            return (
-                series.str.lower()
-                # use regex=False for literal string replacements
-                .str.replace("-", "", regex=False)
-                .str.replace("&", "and", regex=False)
-                .str.replace(" ", "_", regex=False)
-                .str.replace("__", "_", regex=False)
-            )
-
-        metadata = [
-            "industry",
-            "sector",
-            "exchange",
-            "symbol",
-            "heldPercentInsiders",
-            "heldPercentInstitutions",
-            "overallRisk",
-            "shortRatio",
-            "dividendYield",
-            "beta",
-            "regularMarketVolume",
-            "averageVolume",
-            "averageVolume10days",
-            "bid",
-            "ask",
-            "bidSize",
-            "askSize",
-            "marketCap",
-        ]
-
-        columns = {
-            "industry": "industry",
-            "sector": "sector",
-            "exchange": "exchange",
-            "symbol": "symbol",
-            "heldPercentInsiders": "insiders",
-            "heldPercentInstitutions": "institutions",
-            "overallRisk": "risk",
-            "shortRatio": "short_ratio",
-            "dividendYield": "dyield",
-            "beta": "beta",
-            "regularMarketVolume": "regvolume",
-            "averageVolume": "avgvolume",
-            "averageVolume10days": "avgvolume10",
-            "bid": "bid",
-            "ask": "ask",
-            "bidSize": "bidsize",
-            "askSize": "asksize",
-            "marketCap": "marketcap",
-        }
-        data = []
-        for symbol in tickers:
-            try:
-                symbol_info = yf.Ticker(symbol).info
-            except:  # noqa: E722
-                continue
-            infos = {}
-            for info in metadata:
-                infos[info] = symbol_info.get(info)
-            data.append(infos)
-        metadata = pd.DataFrame(data)
-        metadata = metadata.rename(columns=columns)
-        metadata.dyield = metadata.dyield.fillna(0)
-        metadata.sector = clean_text_column(metadata.sector)
-        metadata.industry = clean_text_column(metadata.industry)
-        metadata = metadata.set_index("symbol")
-        return metadata
-
-    def _select_nlargest_liquidity_stocks(
-        self,
-        df: pd.DataFrame,
-        n: int,
-        volume_features,
-        bid_ask_features,
-        market_cap_feature,
-    ):
-        df = df.copy()
-        scaler = StandardScaler()
-
-        # Normalize features
-        df[volume_features] = scaler.fit_transform(df[volume_features])
-        df["bid_ask_spread"] = df["ask"] - df["bid"]
-        df["bid_ask_spread"] = scaler.fit_transform(df[["bid_ask_spread"]])
-        df[market_cap_feature] = scaler.fit_transform(df[market_cap_feature])
-
-        # Calculate Liquidity Score
-        # Assign weights to each component (these weights can be adjusted based on importance)
-        weights = {"volume": 0.4, "bid_ask_spread": 0.2, "marketCap": 0.4}
-
-        # Calculate the liquidity score by combining the normalized features
-        df["liquidity_score"] = (
-            weights["volume"] * df[volume_features].mean(axis=1)
-            + weights["bid_ask_spread"] * df["bid_ask_spread"]
-            + weights["marketCap"] * df[market_cap_feature[0]]
-        )
-        df_sorted = df.sort_values(by="liquidity_score", ascending=False)
-
-        return df_sorted.nlargest(n, "liquidity_score").index
-
-    def _encode_metadata(self, df: pd.DataFrame):
-        df = df.copy()
-        # Binning each numerical feature into categories
-        df["insiders"] = pd.qcut(
-            df["insiders"], q=4, labels=["Very Low", "Low", "High", "Very High"]
-        )
-        df["institutions"] = pd.qcut(
-            df["institutions"], q=4, labels=["Very Low", "Low", "High", "Very High"]
-        )
-        df["risk"] = pd.cut(
-            df["risk"],
-            bins=[-float("inf"), 3, 5, 7, float("inf")],
-            labels=["Low", "Medium", "High", "Very High"],
-        )
-        df["short_ratio"] = pd.qcut(
-            df["short_ratio"], q=4, labels=["Very Low", "Low", "High", "Very High"]
-        )
-        df["dyield"] = pd.cut(
-            df["dyield"],
-            bins=[-float("inf"), 0.002, 0.005, 0.01, float("inf")],
-            labels=["Very Low", "Low", "High", "Very High"],
-        )
-        df["beta"] = pd.cut(
-            df["beta"],
-            bins=[-float("inf"), 0.8, 1.0, 1.2, float("inf")],
-            labels=["Low", "Moderate", "High", "Very High"],
-        )
-
-        # Encode binned features
-        binned_features = [
-            "insiders",
-            "institutions",
-            "risk",
-            "short_ratio",
-            "dyield",
-            "beta",
-            "sector",
-            "industry",
-            "exchange",
-        ]
-        label_encoders = {}
-
-        for col in binned_features:
-            le = LabelEncoder()
-            df[col] = le.fit_transform(df[col])
-            label_encoders[col] = le
-        return df, label_encoders
-
-    def prepare_boosting_data(
-        self,
-        prices: pd.DataFrame,
-        metadata: pd.DataFrame = None,
-        min_years=7,
-        universe=500,
-    ):
-        if metadata is None:
-            mcap = False
-            tickers = prices.index.get_level_values("symbol").unique()
-            metadata = self.download_metadata(tickers)
-        else:
-            mcap = True
-        YEAR = 252
-        idx = pd.IndexSlice
-        percentiles = [0.001, 0.01, 0.02, 0.03, 0.04, 0.05]
-        percentiles += [1 - p for p in percentiles[::-1]]
-        T = [1, 5, 10, 21, 42, 63]
-
-        prices.volume /= 1e3  # make vol figures a bit smaller
-        prices.index.names = ["symbol", "date"]
-        metadata.index.name = "symbol"
-        prices.reset_index().to_hdf(path_or_buf=self.datastore, key="stock_data")
-        metadata.reset_index().to_hdf(path_or_buf=self.datastore, key="stock_metadata")
-
-        # Remove stocks with insufficient observations
-        min_obs = min_years * YEAR
-        nobs = prices.groupby(level="symbol").size()
-        keep = nobs[nobs > min_obs].index
-        prices = prices.loc[idx[keep, :], :]
-
-        # # Remove duplicate symbols
-        prices = prices[~prices.index.duplicated()]
-
-        # Align price and meta data
-        metadata = metadata[~metadata.index.duplicated() & metadata.sector.notnull()]
-        metadata.sector = metadata.sector.str.lower().str.replace(" ", "_")
-        shared = (
-            prices.index.get_level_values("symbol")
-            .unique()
-            .intersection(metadata.index)
-        )
-        metadata = metadata.loc[shared, :]
-        prices = prices.loc[idx[shared, :], :]
-
-        # Limit universe
-        if mcap:
-            universe = metadata.marketcap.nlargest(universe).index
-        else:
-            volume_features = ["regvolume", "avgvolume", "avgvolume10"]
-            bid_ask_features = ["bid", "ask", "bidsize", "asksize"]
-            market_cap_feature = ["marketcap"]
-            to_drop = volume_features + bid_ask_features + market_cap_feature
-            universe = self._select_nlargest_liquidity_stocks(
-                metadata,
-                universe,
-                volume_features,
-                bid_ask_features,
-                market_cap_feature,
-            )
-            metadata = metadata.drop(to_drop, axis=1)
-        prices = prices.loc[idx[universe, :], :]
-        metadata = metadata.loc[universe]
-        metadata = self._encode_metadata(metadata)[0]
-
-        prices["dollar_vol"] = prices[["close", "volume"]].prod(1).div(1e3)
-        # compute dollar volume to determine universe
-        dollar_vol_ma = (
-            prices.dollar_vol.unstack("symbol")
-            .rolling(window=21, min_periods=1)  # 1 trading month
-            .mean()
-        )
-
-        # Rank stocks by moving average
-        prices["dollar_vol_rank"] = (
-            dollar_vol_ma.rank(axis=1, ascending=False).stack("symbol").swaplevel()
-        )
-        # Add some Basic Factors
-        prices = self._add_technical_indicators(prices)
-        # Combine Price and Meta Data
-        prices = prices.join(metadata)
-
-        # Compute Returns
-        by_sym = prices.groupby(level="symbol").close
-        for t in T:
-            prices[f"r{t:02}"] = by_sym.pct_change(t)
-        # Daily historical return deciles
-        for t in T:
-            # Reset the index to apply qcut by date without grouping errors
-            prices[f"r{t:02}dec"] = (
-                prices.reset_index(level="date")
-                .groupby("date")[f"r{t:02}"]
-                .apply(lambda x: pd.qcut(x, q=10, labels=False, duplicates="drop"))
-                .values
-            )
-        # Daily sector return deciles
-        for t in T:
-            prices[f"r{t:02}q_sector"] = prices.groupby(["date", "sector"])[
-                f"r{t:02}"
-            ].transform(lambda x: pd.qcut(x, q=5, labels=False, duplicates="drop"))
-        # Compute Forward Returns
-        for t in [1, 5, 21]:
-            prices[f"r{t:02}_fwd"] = prices.groupby(level="symbol")[f"r{t:02}"].shift(
-                -t
-            )
-
-        # Remove outliers
-        outliers = prices[prices.r01 > 1].index.get_level_values("symbol").unique()
-        prices = prices.drop(outliers, level="symbol")
-        # Create time and sector dummy variables
-        prices["year"] = prices.index.get_level_values("date").year
-        prices["month"] = prices.index.get_level_values("date").month
-        prices["weekday"] = prices.index.get_level_values("date").weekday
-        # Store Model Data
-        prices = prices.drop(["open", "close", "low", "high", "volume"], axis=1)
-        if "adj_close" in prices.columns:
-            prices = prices.drop("adj_close", axis=1)
-        prices.reset_index().to_hdf(path_or_buf=self.datastore, key="model_data")
-        return prices.sort_index()
-
-    def tickers(self):
-        return pd.read_hdf(self.outstore, "lgb/tickers").tolist()
-
-    def load_model_data(self, key="model_data"):
-        return (
-            pd.read_hdf(self.datastore, key=key)
-            .set_index(["symbol", "date"])
-            .sort_index()
-        )
-
-    def format_time(self, t):
-        """Return a formatted time string 'HH:MM:SS
-        based on a numeric time() value"""
-        m, s = divmod(t, 60)
-        h, m = divmod(m, 60)
-        return f"{h:0>2.0f}:{m:0>2.0f}:{s:0>2.0f}"
-
-    def fit(self, data: pd.DataFrame, verbose=True):
-        def get_fi(model):
-            """Return normalized feature importance as pd.Series"""
-            fi = model.feature_importance(importance_type="gain")
-            return pd.Series(fi / fi.sum(), index=model.feature_name())
-
-        def ic_lgbm(preds, train_data):
-            """Custom IC eval metric for lightgbm"""
-            is_higher_better = True
-            return "ic", spearmanr(preds, train_data.get_label())[0], is_higher_better
-
-        data = data.dropna()
-        # Hyperparameter options
-        YEAR = 252
-        base_params = dict(boosting="gbdt", objective="regression", verbose=-1)
-
-        # constraints on structure (depth) of each tree
-        max_depths = [2, 3, 5, 7]
-        num_leaves_opts = [2**i for i in max_depths]
-        min_data_in_leaf_opts = [250, 500, 1000]
-
-        # weight of each new tree in the ensemble
-        learning_rate_ops = [0.01, 0.1, 0.3]
-
-        # random feature selection
-        feature_fraction_opts = [0.3, 0.6, 0.95]
-
-        param_names = [
-            "learning_rate",
-            "num_leaves",
-            "feature_fraction",
-            "min_data_in_leaf",
-        ]
-
-        cv_params = list(
-            product(
-                learning_rate_ops,
-                num_leaves_opts,
-                feature_fraction_opts,
-                min_data_in_leaf_opts,
-            )
-        )
-        n_params = len(cv_params)
-        print(f"# Parameters: {n_params}")
-
-        # Train/Test Period Lengths
-        lookaheads = [1, 5, 21]
-        train_lengths = [int(4.5 * 252), 252]
-        test_lengths = [63]
-        test_params = list(product(lookaheads, train_lengths, test_lengths))
-        n = len(test_params)
-        test_param_sample = np.random.choice(list(range(n)), size=int(n), replace=False)
-        test_params = [test_params[i] for i in test_param_sample]
-        print("Train configs:", len(test_params))
-
-        # Categorical Variables
-        categoricals = ["year", "weekday", "month"]
-        for feature in categoricals:
-            data[feature] = pd.factorize(data[feature], sort=True)[0]
-
-        # ### Run Cross-Validation
-        labels = sorted(data.filter(like="fwd").columns)
-        features = data.columns.difference(labels).tolist()
-        label_dict = dict(zip(lookaheads, labels))
-        num_iterations = [10, 25, 50, 75] + list(range(100, 501, 50))
-        num_boost_round = num_iterations[-1]
-
-        metric_cols = (
-            param_names
-            + [
-                "t",
-                "daily_ic_mean",
-                "daily_ic_mean_n",
-                "daily_ic_median",
-                "daily_ic_median_n",
-            ]
-            + [str(n) for n in num_iterations]
-        )
-
-        for lookahead, train_length, test_length in test_params:
-            # randomized grid search
-            cvp = np.random.choice(
-                list(range(n_params)), size=int(n_params / 2), replace=False
-            )
-            cv_params_ = [cv_params[i] for i in cvp]
-
-            # set up cross-validation
-            n_splits = int(2 * YEAR / test_length)
-            print(
-                f"Lookahead: {lookahead:2.0f} | "
-                f"Train: {train_length:3.0f} | "
-                f"Test: {test_length:2.0f} | "
-                f"Params: {len(cv_params_):3.0f} | "
-                f"Train configs: {len(test_params)}"
-            )
-
-            # time-series cross-validation
-            cv = MultipleTimeSeriesCV(
-                n_splits=n_splits,
-                lookahead=lookahead,
-                test_period_length=test_length,
-                train_period_length=train_length,
-            )
-
-            label = label_dict[lookahead]
-            outcome_data = data.loc[:, features + [label]].dropna()
-
-            # binary dataset
-            lgb_data = lgb.Dataset(
-                data=outcome_data.drop(label, axis=1),
-                label=outcome_data[label],
-                categorical_feature=categoricals,
-                free_raw_data=False,
-            )
-            T = 0
-            predictions, metrics = [], []
-
-            # iterate over (shuffled) hyperparameter combinations
-            for p, param_vals in enumerate(cv_params_):
-                key = f"{lookahead}/{train_length}/{test_length}/" + "/".join(
-                    [str(p) for p in param_vals]
-                )
-                params = dict(zip(param_names, param_vals))
-                params.update(base_params)
-
-                start = time()
-                cv_preds = []
-
-                # iterate over folds
-                for i, (train_idx, test_idx) in enumerate(cv.split(X=outcome_data)):
-                    # select train subset
-                    lgb_train = lgb_data.subset(
-                        used_indices=train_idx.tolist(), params=params
-                    ).construct()
-
-                    # train model for num_boost_round
-                    model = lgb.train(
-                        params=params,
-                        train_set=lgb_train,
-                        num_boost_round=num_boost_round,
-                    )
-                    # log feature importance
-                    if i == 0:
-                        fi = get_fi(model).to_frame()
-                    else:
-                        fi[i] = get_fi(model)
-
-                    # capture predictions
-                    test_set = outcome_data.iloc[test_idx, :]
-                    X_test = test_set.loc[:, model.feature_name()]
-                    y_test = test_set.loc[:, label]
-                    y_pred = {
-                        str(n): model.predict(X_test, num_iteration=n)
-                        for n in num_iterations
-                    }
-
-                    # record predictions for each fold
-                    cv_preds.append(
-                        y_test.to_frame("y_test").assign(**y_pred).assign(i=i)
-                    )
-
-                # combine fold results
-                cv_preds = pd.concat(cv_preds).assign(**params)
-                predictions.append(cv_preds)
-
-                # compute IC per day
-                by_day = cv_preds.groupby(level="date")
-                ic_by_day = pd.concat(
-                    [
-                        by_day.apply(
-                            lambda x: spearmanr(x.y_test, x[str(n)])[0]
-                        ).to_frame(n)
-                        for n in num_iterations
-                    ],
-                    axis=1,
-                )
-                daily_ic_mean = ic_by_day.mean()
-                daily_ic_mean_n = daily_ic_mean.idxmax()
-                daily_ic_median = ic_by_day.median()
-                daily_ic_median_n = daily_ic_median.idxmax()
-
-                # compute IC across all predictions
-                ic = [
-                    spearmanr(cv_preds.y_test, cv_preds[str(n)])[0]
-                    for n in num_iterations
-                ]
-                t = time() - start
-                T += t
-
-                # collect metrics
-                metrics = pd.Series(
-                    list(param_vals)
-                    + [
-                        t,
-                        daily_ic_mean.max(),
-                        daily_ic_mean_n,
-                        daily_ic_median.max(),
-                        daily_ic_median_n,
-                    ]
-                    + ic,
-                    index=metric_cols,
-                )
-                if verbose:
-                    msg = f'\t{p:3.0f} | {self.format_time(T)} ({t:3.0f}) | {params["learning_rate"]:5.2f} | '
-                    msg += f'{params["num_leaves"]:3.0f} | {params["feature_fraction"]:3.0%} | {params["min_data_in_leaf"]:4.0f} | '
-                    msg += f" {max(ic):6.2%} | {ic_by_day.mean().max(): 6.2%} | {daily_ic_mean_n: 4.0f} | {ic_by_day.median().max(): 6.2%} | {daily_ic_median_n: 4.0f}"
-                    print(msg)
-
-                # persist results for given CV run and hyperparameter combination
-                metrics.to_hdf(path_or_buf=self.trainstore, key="metrics/" + key)
-                ic_by_day.assign(**params).to_hdf(
-                    path_or_buf=self.trainstore, key="daily_ic/" + key
-                )
-                fi.T.describe().T.assign(**params).to_hdf(
-                    path_or_buf=self.trainstore, key="fi/" + key
-                )
-                cv_preds.to_hdf(
-                    path_or_buf=self.trainstore, key="predictions/" + key, append=True
-                )
-
-    def _get_lgb_metrics(self, scope_params, lgb_train_params, daily_ic_metrics):
-        with pd.HDFStore(self.trainstore) as store:
-            for i, key in enumerate(
-                [k[1:] for k in store.keys() if k[1:].startswith("metrics")]
-            ):
-                _, t, train_length, test_length = key.split("/")[:4]
-                attrs = {
-                    "lookahead": t,
-                    "train_length": train_length,
-                    "test_length": test_length,
-                }
-                s = store[key].to_dict()
-                s.update(attrs)
-                if i == 0:
-                    lgb_metrics = pd.Series(s).to_frame(i)
-                else:
-                    lgb_metrics[i] = pd.Series(s)
-
-        id_vars = scope_params + lgb_train_params + daily_ic_metrics
-        lgb_metrics = (
-            pd.melt(
-                lgb_metrics.T.drop("t", axis=1),
-                id_vars=id_vars,
-                value_name="ic",
-                var_name="boost_rounds",
-            )
-            .dropna()
-            .apply(pd.to_numeric)
-        )
-        return lgb_metrics
-
-    def _get_lgb_ic(self, int_cols, scope_params, lgb_train_params, id_vars):
-        lgb_ic = []
-        with pd.HDFStore(self.trainstore) as store:
-            keys = [k[1:] for k in store.keys()]
-            for key in keys:
-                _, t, train_length, test_length = key.split("/")[:4]
-                if key.startswith("daily_ic"):
-                    df = (
-                        store[key]
-                        .drop(["boosting", "objective", "verbose"], axis=1)
-                        .assign(
-                            lookahead=t,
-                            train_length=train_length,
-                            test_length=test_length,
-                        )
-                    )
-                    lgb_ic.append(df)
-            lgb_ic = pd.concat(lgb_ic).reset_index()
-        lgb_ic = pd.melt(
-            lgb_ic, id_vars=id_vars, value_name="ic", var_name="boost_rounds"
-        ).dropna()
-        lgb_ic.loc[:, int_cols] = lgb_ic.loc[:, int_cols].astype(int)
-        return lgb_ic
-
-    def _get_lgb_params(self, data, scope_params, lgb_train_params, t=5, best=0):
-        param_cols = scope_params[1:] + lgb_train_params + ["boost_rounds"]
-        df = data[data.lookahead == t].sort_values("ic", ascending=False).iloc[best]
-        return df.loc[param_cols]
-
-    def _get_lgb_key(self, t, p):
-        key = f"{t}/{int(p.train_length)}/{int(p.test_length)}/{p.learning_rate}/"
-        return (
-            key + f"{int(p.num_leaves)}/{p.feature_fraction}/{int(p.min_data_in_leaf)}"
-        )
-
-    def _select_ic(self, params, ic_data, lookahead):
-        return ic_data.loc[
-            (ic_data.lookahead == lookahead)
-            & (ic_data.train_length == params.train_length)
-            & (ic_data.test_length == params.test_length)
-            & (ic_data.learning_rate == params.learning_rate)
-            & (ic_data.num_leaves == params.num_leaves)
-            & (ic_data.feature_fraction == params.feature_fraction)
-            & (ic_data.boost_rounds == params.boost_rounds),
-            ["date", "ic"],
-        ].set_index("date")
-
-    def get_trade_prices(self, tickers, start, end):
-        idx = pd.IndexSlice
-        with pd.HDFStore(self.datastore) as store:
-            data = store.select("stock_data")
-            data = data.set_index(["symbol", "date"]).sort_index()
-            data = data[~data.index.duplicated()]
-        return (
-            data.loc[idx[tickers, start:end], "open"]
-            .unstack("symbol")
-            .sort_index()
-            .shift(-1)
-            .tz_convert("UTC")
-        )
-
-    def plot_ic(self, lgb_ic, lgb_daily_ic, scope_params, lgb_train_params):
-        fig, axes = plt.subplots(nrows=1, ncols=2, figsize=(20, 5))
-        axes = axes.flatten()
-        for i, t in enumerate([1, 21]):
-            params = self._get_lgb_params(
-                lgb_daily_ic, scope_params, lgb_train_params, t=t, best=0
-            )
-            data = self._select_ic(params, lgb_ic, lookahead=t).sort_index()
-            rolling = data.rolling(63).ic.mean().dropna()
-            avg = data.ic.mean()
-            med = data.ic.median()
-            rolling.plot(
-                ax=axes[i],
-                title=f"Horizon: {t} Day(s) | IC: Mean={avg*100:.2f}   Median={med*100:.2f}",
-            )
-            axes[i].axhline(avg, c="darkred", lw=1)
-            axes[i].axhline(0, ls="--", c="k", lw=1)
-
-        fig.suptitle("3-Month Rolling Information Coefficient", fontsize=16)
-        fig.tight_layout()
-        fig.subplots_adjust(top=0.92)
-
-    def plot_metrics(self, lgb_metrics, lgb_daily_ic, t=1):
-        # Visualization
-        sns.jointplot(x=lgb_metrics.daily_ic_mean, y=lgb_metrics.ic)
-
-        sns.catplot(
-            x="lookahead",
-            y="ic",
-            col="train_length",
-            row="test_length",
-            data=lgb_metrics,
-            kind="box",
-        )
-        sns.catplot(
-            x="boost_rounds",
-            y="ic",
-            col="train_length",
-            row="test_length",
-            data=lgb_daily_ic[lgb_daily_ic.lookahead == t],
-            kind="box",
-        )
-
-    def get_best_predictions(
-        self, lgb_daily_ic, scope_params, lgb_train_params, lookahead=1, topn=10
-    ):
-        for best in range(topn):
-            best_params = self._get_lgb_params(
-                lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=best
-            )
-            key = self._get_lgb_key(lookahead, best_params)
-            rounds = str(int(best_params.boost_rounds))
-            if best == 0:
-                best_predictions = pd.read_hdf(self.trainstore, "predictions/" + key)
-                best_predictions = best_predictions[rounds].to_frame(best)
-            else:
-                best_predictions[best] = pd.read_hdf(
-                    self.trainstore, "predictions/" + key
-                )[rounds]
-        best_predictions = best_predictions.sort_index()
-        best_predictions.reset_index().to_hdf(
-            path_or_buf=self.outstore, key=f"lgb/train/{lookahead:02}"
-        )
-        return best_predictions
-
-    def apply_alphalen_analysis(self, factor_data, tearsheet=True, verbose=True):
-        # Compute Alphalens metrics
-        mean_quant_ret_bydate, std_quant_daily = perf.mean_return_by_quantile(
-            factor_data,
-            by_date=True,
-            by_group=False,
-            demeaned=True,
-            group_adjust=False,
-        )
-        factor_returns = perf.factor_returns(factor_data)
-        mean_quant_ret, std_quantile = perf.mean_return_by_quantile(
-            factor_data, by_group=False, demeaned=True
-        )
-
-        mean_quant_rateret = mean_quant_ret.apply(
-            rate_of_return, axis=0, base_period=mean_quant_ret.columns[0]
-        )
-
-        mean_quant_ret_bydate, std_quant_daily = perf.mean_return_by_quantile(
-            factor_data,
-            by_date=True,
-            by_group=False,
-            demeaned=True,
-            group_adjust=False,
-        )
-
-        mean_quant_rateret_bydate = mean_quant_ret_bydate.apply(
-            rate_of_return,
-            base_period=mean_quant_ret_bydate.columns[0],
-        )
-
-        compstd_quant_daily = std_quant_daily.apply(
-            std_conversion, base_period=std_quant_daily.columns[0]
-        )
-
-        alpha_beta = perf.factor_alpha_beta(factor_data, demeaned=True)
-
-        mean_ret_spread_quant, std_spread_quant = perf.compute_mean_returns_spread(
-            mean_quant_rateret_bydate,
-            factor_data["factor_quantile"].max(),
-            factor_data["factor_quantile"].min(),
-            std_err=compstd_quant_daily,
-        )
-        if verbose:
-            print(
-                mean_ret_spread_quant.mean()
-                .mul(10000)
-                .to_frame("Mean Period Wise Spread (bps)")
-                .join(alpha_beta.T)
-                .T
-            )
-
-        fig, axes = plt.subplots(ncols=3, figsize=(18, 4))
-
-        plotting.plot_quantile_returns_bar(mean_quant_rateret, ax=axes[0])
-        plt.setp(axes[0].xaxis.get_majorticklabels(), rotation=0)
-        axes[0].set_xlabel("Quantile")
-
-        plotting.plot_cumulative_returns_by_quantile(
-            mean_quant_ret_bydate["1D"],
-            freq=pd.tseries.offsets.BDay(),
-            period="1D",
-            ax=axes[1],
-        )
-        axes[1].set_title("Cumulative Return by Quantile (1D Period)")
-
-        title = "Cumulative Return - Factor-Weighted Long/Short PF (1D Period)"
-        plotting.plot_cumulative_returns(
-            factor_returns["1D"],
-            period="1D",
-            freq=pd.tseries.offsets.BDay(),
-            title=title,
-            ax=axes[2],
-        )
-
-        fig.suptitle("Alphalens - Validation Set Performance", fontsize=14)
-        fig.tight_layout()
-        fig.subplots_adjust(top=0.85)
-
-        # Summary Tearsheet
-        create_summary_tear_sheet(factor_data)
-        create_full_tear_sheet(factor_data)
-
-    def evaluate(self, remove_instore=False, lookahead=1, verbose=True):
-        scope_params = ["lookahead", "train_length", "test_length"]
-        daily_ic_metrics = [
-            "daily_ic_mean",
-            "daily_ic_mean_n",
-            "daily_ic_median",
-            "daily_ic_median_n",
-        ]
-        lgb_train_params = [
-            "learning_rate",
-            "num_leaves",
-            "feature_fraction",
-            "min_data_in_leaf",
-        ]
-
-        lgb_metrics = self._get_lgb_metrics(
-            scope_params, lgb_train_params, daily_ic_metrics
-        )
-        # Summary Metrics by Fold
-        lgb_metrics.to_hdf(path_or_buf=self.outstore, key="lgb/metrics")
-
-        # Information Coefficient by Day
-        int_cols = ["lookahead", "train_length", "test_length", "boost_rounds"]
-        id_vars = ["date"] + scope_params + lgb_train_params
-        lgb_ic = self._get_lgb_ic(int_cols, scope_params, lgb_train_params, id_vars)
-        lgb_ic.to_hdf(path_or_buf=self.outstore, key="lgb/ic")
-        lgb_daily_ic = (
-            lgb_ic.groupby(id_vars[1:] + ["boost_rounds"])
-            .ic.mean()
-            .to_frame("ic")
-            .reset_index()
-        )
-        lgb_daily_ic.to_hdf(path_or_buf=self.outstore, key="lgb/daily_ic")
-
-        # Cross-validation Result: Best Hyperparameters
-        if verbose:
-            print(
-                lgb_daily_ic.groupby("lookahead", group_keys=False).apply(
-                    lambda x: x.nlargest(3, "ic")
-                )
-            )
-        lgb_metrics.groupby("lookahead", group_keys=False).apply(
-            lambda x: x.nlargest(3, "ic")
-        )
-        lgb_metrics.groupby("lookahead", group_keys=False).apply(
-            lambda x: x.nlargest(3, "ic")
-        ).to_hdf(path_or_buf=self.outstore, key="lgb/best_model")
-        if verbose:
-            print(
-                lgb_metrics.groupby("lookahead", group_keys=False).apply(
-                    lambda x: x.nlargest(3, "daily_ic_mean")
-                )
-            )
-
-        # Visualization
-        if verbose:
-            self.plot_metrics(lgb_metrics, lgb_daily_ic, t=lookahead)
-
-        # AlphaLens Analysis - Validation Performance
-        lgb_daily_ic = pd.read_hdf(self.outstore, "lgb/daily_ic")
-        best_params = self._get_lgb_params(
-            lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=0
-        )
-        best_params.to_hdf(path_or_buf=self.outstore, key="lgb/best_params")
-
-        if verbose:
-            self.plot_ic(lgb_ic, lgb_daily_ic, scope_params, lgb_train_params)
-
-        # Get Predictions for Validation Period
-        best_predictions = self.get_best_predictions(
-            lgb_daily_ic, scope_params, lgb_train_params, lookahead=lookahead, topn=10
-        )
-        test_tickers = best_predictions.index.get_level_values("symbol").unique()
-        start = best_predictions.index.get_level_values("date").min()
-        end = best_predictions.index.get_level_values("date").max()
-        trade_prices = self.get_trade_prices(test_tickers, start, end)
-        pd.Series(test_tickers).to_hdf(path_or_buf=self.outstore, key="lgb/tickers")
-        # We average the top five models and provide the corresponding prices to Alphalens,
-        # in order to compute the mean period-wise
-        # return earned on an equal-weighted portfolio invested in the daily factor quintiles
-        # for various holding periods:
-        factor = (
-            best_predictions.iloc[:, :5]
-            .mean(1)
-            .dropna()
-            .tz_convert("UTC", level="date")
-            .swaplevel()
-        )
-        # Create AlphaLens Inputs
-        if verbose:
-            factor_data = get_clean_factor_and_forward_returns(
-                factor=factor,
-                prices=trade_prices,
-                quantiles=5,
-                periods=(1, 5, 10, 21),
-                max_loss=1,
-            )
-            self.apply_alphalen_analysis(factor_data, tearsheet=True, verbose=True)
-        # Delete the temporary files
-        if remove_instore:
-            os.remove(self.trainstore)
-
-    def make_predictions(
-        self, data: pd.DataFrame, mode="test", lookahead=1, verbose=True
-    ):
-        data = data.copy()
-        YEAR = 252
-        scope_params = ["lookahead", "train_length", "test_length"]
-        lgb_train_params = [
-            "learning_rate",
-            "num_leaves",
-            "feature_fraction",
-            "min_data_in_leaf",
-        ]
-
-        base_params = dict(boosting="gbdt", objective="regression", verbose=-1)
-
-        categoricals = ["year", "month", "weekday"]
-        labels = sorted(data.filter(like="_fwd").columns)
-        features = data.columns.difference(labels).tolist()
-        label = f"r{lookahead:02}_fwd"
-        for feature in categoricals:
-            data[feature] = pd.factorize(data[feature], sort=True)[0]
-
-        if mode == "test":
-            data = data.dropna().sort_index()
-        elif mode == "live":
-            data[labels] = data[labels].fillna(0)
-            data = data.sort_index().dropna()
-
-        lgb_data = lgb.Dataset(
-            data=data[features],
-            label=data[label],
-            categorical_feature=categoricals,
-            free_raw_data=False,
-        )
-        # Generate predictions
-        lgb_daily_ic = pd.read_hdf(self.outstore, "lgb/daily_ic")
-
-        for position in range(10):
-            params = self._get_lgb_params(
-                lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=position
-            )
-
-            params = params.to_dict()
-
-            for p in ["min_data_in_leaf", "num_leaves"]:
-                params[p] = int(params[p])
-            train_length = int(params.pop("train_length"))
-            test_length = int(params.pop("test_length"))
-            num_boost_round = int(params.pop("boost_rounds"))
-            params.update(base_params)
-            if verbose:
-                print(f"\nPosition: {position:02}")
-
-            # 1-year out-of-sample period
-            n_splits = int(YEAR / test_length)
-            cv = MultipleTimeSeriesCV(
-                n_splits=n_splits,
-                test_period_length=test_length,
-                lookahead=lookahead,
-                train_period_length=train_length,
-            )
-
-            predictions = []
-            for i, (train_idx, test_idx) in enumerate(cv.split(X=data), 1):
-                if verbose:
-                    print(i, end=" ", flush=True)
-                lgb_train = lgb_data.subset(
-                    used_indices=train_idx.tolist(), params=params
-                ).construct()
-
-                model = lgb.train(
-                    params=params,
-                    train_set=lgb_train,
-                    num_boost_round=num_boost_round,
-                )
-
-                test_set = data.iloc[test_idx, :]
-                y_test = test_set.loc[:, label].to_frame("y_test")
-                y_pred = model.predict(test_set.loc[:, model.feature_name()])
-                predictions.append(y_test.assign(prediction=y_pred))
-
-            if position == 0:
-                test_predictions = pd.concat(predictions).rename(
-                    columns={"prediction": position}
-                )
-            else:
-                test_predictions[position] = pd.concat(predictions).prediction
-
-        by_day = test_predictions.groupby(level="date")
-        for position in range(10):
-            if position == 0:
-                ic_by_day = by_day.apply(
-                    lambda x: spearmanr(x.y_test, x[position])[0]
-                ).to_frame()
-            else:
-                ic_by_day[position] = by_day.apply(
-                    lambda x: spearmanr(x.y_test, x[position])[0]
-                )
-        if verbose:
-            print(ic_by_day.describe())
-        test_predictions.reset_index().to_hdf(
-            path_or_buf=self.outstore, key=f"lgb/test/{lookahead:02}"
-        )
-        return test_predictions
-
-    def load_predictions(self, predictions=None, lookahead=1):
-        if predictions is None:
-            predictions = pd.concat(
-                [
-                    pd.read_hdf(self.outstore, f"lgb/train/{lookahead:02}"),
-                    pd.read_hdf(self.outstore, f"lgb/test/{lookahead:02}").drop(
-                        "y_test", axis=1
-                    ),
-                ]
-            )
-            predictions = predictions.set_index(["symbol", "date"])
-
-        predictions = (
-            predictions.loc[~predictions.index.duplicated()]
-            .iloc[:, :10]
-            .mean(1)
-            .sort_index()
-            .dropna()
-            .to_frame("prediction")
-        )
-        tickers = predictions.index.get_level_values("symbol").unique().tolist()
-        try:
-            return (predictions.unstack("symbol").prediction.tz_convert("UTC")), tickers
-        except TypeError:
-            return (predictions.unstack("symbol").prediction.tz_localize("UTC")), tickers
-
-    def assert_last_date(self, predictions: pd.DataFrame):
-        """
-        Usefull in Live Trading to ensure that the last date in the predictions
-        is the previous day, so it predicts today's returns.
-        """
-        last_date = predictions.index.get_level_values("date").max()
-        try:
-            if last_date.tzinfo is None:
-                last_date = last_date.tz_localize("UTC")
-            else:
-                last_date = last_date.tz_convert("UTC")
-            last_date = last_date.normalize()
-        except Exception as e:
-            print(f"Error getting last date: {e}")
-        try:
-            days = 3 if datetime.now().strftime("%A") == "Monday" else 1
-            td = (
-                last_date
-                - (pd.Timestamp.now(tz="UTC") - pd.Timedelta(days=days)).normalize()
-            )
-            assert (
-                td.days == days or last_date == (pd.Timestamp.now(tz="UTC")).normalize()
-            )
-            return True
-        except AssertionError:
-            return False
-
-    def clean_stores(self, *stores):
-        for store in stores:
-            if os.path.exists(store):
-                os.remove(store)
+import os
+import warnings
+from datetime import datetime
+from itertools import product
+from time import time
+
+import lightgbm as lgb
+import matplotlib.pyplot as plt
+import numpy as np
+import pandas as pd
+import seaborn as sns
+
+import yfinance as yf
+from alphalens import performance as perf
+from alphalens import plotting
+from alphalens.tears import create_full_tear_sheet, create_summary_tear_sheet
+from alphalens.utils import (
+    get_clean_factor_and_forward_returns,
+    rate_of_return,
+    std_conversion,
+)
+from scipy.stats import spearmanr
+from sklearn.preprocessing import LabelEncoder, StandardScaler
+import pandas_ta as ta
+
+warnings.filterwarnings("ignore")
+
+
+__all__ = ["OneStepTimeSeriesSplit", "MultipleTimeSeriesCV", "LightGBModel"]
+
+
+class OneStepTimeSeriesSplit:
+    __author__ = "Stefan Jansen"
+    """Generates tuples of train_idx, test_idx pairs
+    Assumes the index contains a level labeled 'date'"""
+
+    def __init__(self, n_splits=3, test_period_length=1, shuffle=False):
+        self.n_splits = n_splits
+        self.test_period_length = test_period_length
+        self.shuffle = shuffle
+
+    @staticmethod
+    def chunks(l, n):  # noqa: E741
+        for i in range(0, len(l), n):
+            yield l[i : i + n]
+
+    def split(self, X: pd.DataFrame, y=None, groups=None):
+        unique_dates = (
+            X.index.get_level_values("date")
+            .unique()
+            .sort_values(ascending=False)[: self.n_splits * self.test_period_length]
+        )
+
+        dates = X.reset_index()[["date"]]
+        for test_date in self.chunks(unique_dates, self.test_period_length):
+            train_idx = dates[dates.date < min(test_date)].index
+            test_idx = dates[dates.date.isin(test_date)].index
+            if self.shuffle:
+                np.random.shuffle(list(train_idx))
+            yield train_idx, test_idx
+
+    def get_n_splits(self, X, y, groups=None):
+        return self.n_splits
+
+
+class MultipleTimeSeriesCV:
+    __author__ = "Stefan Jansen"
+    """
+    Generates tuples of train_idx, test_idx pairs
+    Assumes the MultiIndex contains levels 'symbol' and 'date'
+    purges overlapping outcomes
+    """
+
+    def __init__(
+        self,
+        n_splits=3,
+        train_period_length=126,
+        test_period_length=21,
+        lookahead=None,
+        date_idx="date",
+        shuffle=False,
+    ):
+        self.n_splits = n_splits
+        self.lookahead = lookahead
+        self.test_length = test_period_length
+        self.train_length = train_period_length
+        self.shuffle = shuffle
+        self.date_idx = date_idx
+
+    def split(self, X: pd.DataFrame, y=None, groups=None):
+        unique_dates = X.index.get_level_values(self.date_idx).unique()
+        days = sorted(unique_dates, reverse=True)
+        split_idx = []
+        for i in range(self.n_splits):
+            test_end_idx = i * self.test_length
+            test_start_idx = test_end_idx + self.test_length
+            train_end_idx = test_start_idx + self.lookahead - 1
+            train_start_idx = train_end_idx + self.train_length + self.lookahead - 1
+            split_idx.append(
+                [train_start_idx, train_end_idx, test_start_idx, test_end_idx]
+            )
+
+        dates = X.reset_index()[[self.date_idx]]
+        for train_start, train_end, test_start, test_end in split_idx:
+            train_idx = dates[
+                (dates[self.date_idx] > days[train_start])
+                & (dates[self.date_idx] <= days[train_end])
+            ].index
+            test_idx = dates[
+                (dates[self.date_idx] > days[test_start])
+                & (dates[self.date_idx] <= days[test_end])
+            ].index
+            if self.shuffle:
+                np.random.shuffle(list(train_idx))
+            yield train_idx.to_numpy(), test_idx.to_numpy()
+
+    def get_n_splits(self, X, y, groups=None):
+        return self.n_splits
+
+
+class LightGBModel(object):
+    """
+    ``LightGBModel`` encapsulates a complete workflow for training and evaluating
+    a ``LightGBM (Light Gradient Boosting Machine)`` model for predicting stock returns.
+    It includes data acquisition, feature engineering, model tuning, and performance
+    evaluation using information ``coefficient (IC)`` and Alphalens analysis.
+
+    Key Features
+    ------------
+    - ``HDF5 Storage``: Utilizes ``pandas.HDFStore`` for efficient storage and retrieval
+      of large datasets, which is essential for backtesting on financial time series data.
+
+    - ``Time-Series Cross-Validation``: Employs a custom cross-validation strategy that
+      respects the time series nature of the data, avoiding data leakage.
+
+    - ``Hyperparameter Tuning``: Includes automated hyperparameter tuning using a randomized
+      grid search for optimization.
+
+    - ``Information Coefficient (IC)``: Uses IC as a core performance metric that quantifies
+      the predictive power of the model, which is a standard measure for ranking models in finance.
+
+    - ``Alphalens Integration``: Provides a comprehensive framework for validating model
+      performance using Alphalens, allowing for in-depth performance analysis, like backtesting
+      and return decomposition.
+
+    Use Case
+    --------
+    This class is designed for quantitative finance and algorithmic trading use cases where
+    the goal is to build a predictive model for stock returns based on historical data and
+    technical indicators. It follows a complete cycle from data acquisition to model validation
+    and provides the infrastructure needed for deployment of this model in a trading strategy.
+
+    Notes
+    -----
+    The implementation is inspired by the book "Machine Learning for Algorithmic Trading"
+    by Stefan Jansen.
+
+    References
+    ----------
+    Stefan Jansen (2020). Machine Learning for Algorithmic Trading - Second Edition.
+    Chapter 12, Boosting Your Trading Strategy.
+    """
+
+    def __init__(
+        self,
+        data: pd.DataFrame = None,
+        datastore: pd.HDFStore = "lgbdata.h5",
+        trainstore: pd.HDFStore = "lgbtrain.h5",
+        outstore: pd.HDFStore = "lgbout.h5",
+    ):
+        """
+        Args:
+            data (pd.DataFrame): The input data for the model. It should be a DataFrame with a MultiIndex containing
+            'symbol' and 'date' levels. If not provided, the data can be downloaded using the `download_boosting_data` method.
+            datastore (str): The path to the HDF5 file for storing the model data.
+            trainstore (str): The path to the HDF5 file for storing the training data.
+            outstore (str): The path to the HDF5 file for storing the output data.
+        """
+        self.datastore = datastore
+        self.trainstore = trainstore
+        self.outstore = outstore
+        if data is not None:
+            data.reset_index().to_hdf(path_or_buf=self.datastore, key="model_data")
+
+    def _compute_bb(self, close):
+        # Compute Bollinger Bands using pandas_ta
+        bb = ta.bbands(close, length=20)
+        return pd.DataFrame(
+            {"bb_high": bb["BBU_20_2.0"], "bb_low": bb["BBL_20_2.0"]}, index=close.index
+        )
+
+    def _compute_atr(self, stock_data):
+        # Compute ATR using pandas_ta
+        atr = ta.atr(stock_data.high, stock_data.low, stock_data.close, length=14)
+        return (atr - atr.mean()) / atr.std()
+
+    def _compute_macd(self, close):
+        # Compute MACD using pandas_ta
+        macd = ta.macd(close)["MACD_12_26_9"]
+        return (macd - macd.mean()) / macd.std()
+
+    def _add_technical_indicators(self, prices: pd.DataFrame):
+        prices = prices.copy()
+
+        # Add RSI and normalize
+        prices["rsi"] = (
+            prices.groupby(level="symbol")
+            .close.apply(lambda x: ta.rsi(x, length=14))
+            .reset_index(level=0, drop=True)
+        )
+
+        # Add Bollinger Bands
+        bb = prices.groupby(level="symbol").close.apply(self._compute_bb)
+        bb = bb.reset_index(level=1, drop=True)
+        prices = prices.join(bb)
+
+        prices["bb_high"] = (
+            prices.bb_high.sub(prices.close).div(prices.bb_high).apply(np.log1p)
+        )
+        prices["bb_low"] = (
+            prices.close.sub(prices.bb_low).div(prices.close).apply(np.log1p)
+        )
+
+        # Add ATR and normalize
+        prices["ATR"] = prices.groupby(level="symbol", group_keys=False).apply(
+            lambda x: self._compute_atr(x)
+        )
+
+        # Add MACD and normalize
+        prices["MACD"] = prices.groupby(level="symbol", group_keys=False).close.apply(
+            self._compute_macd
+        )
+
+        return prices
+
+    def download_boosting_data(self, tickers, start, end=None):
+        data = []
+        for ticker in tickers:
+            try:
+                prices = yf.download(
+                    ticker,
+                    start=start,
+                    end=end,
+                    progress=False,
+                    multi_level_index=False,
+                    auto_adjust=True,
+                )
+                prices["symbol"] = ticker
+                data.append(prices)
+            except:  # noqa: E722
+                continue
+        data = pd.concat(data)
+        data = (
+            data.rename(columns={s: s.lower().replace(" ", "_") for s in data.columns})
+            .drop(columns=["adj_close"])
+            .set_index("symbol", append=True)
+            .swaplevel()
+            .sort_index()
+            .dropna()
+        )
+        return data
+
+    def download_metadata(self, tickers):
+        def clean_text_column(series: pd.Series) -> pd.Series:
+            return (
+                series.str.lower()
+                # use regex=False for literal string replacements
+                .str.replace("-", "", regex=False)
+                .str.replace("&", "and", regex=False)
+                .str.replace(" ", "_", regex=False)
+                .str.replace("__", "_", regex=False)
+            )
+
+        metadata = [
+            "industry",
+            "sector",
+            "exchange",
+            "symbol",
+            "heldPercentInsiders",
+            "heldPercentInstitutions",
+            "overallRisk",
+            "shortRatio",
+            "dividendYield",
+            "beta",
+            "regularMarketVolume",
+            "averageVolume",
+            "averageVolume10days",
+            "bid",
+            "ask",
+            "bidSize",
+            "askSize",
+            "marketCap",
+        ]
+
+        columns = {
+            "industry": "industry",
+            "sector": "sector",
+            "exchange": "exchange",
+            "symbol": "symbol",
+            "heldPercentInsiders": "insiders",
+            "heldPercentInstitutions": "institutions",
+            "overallRisk": "risk",
+            "shortRatio": "short_ratio",
+            "dividendYield": "dyield",
+            "beta": "beta",
+            "regularMarketVolume": "regvolume",
+            "averageVolume": "avgvolume",
+            "averageVolume10days": "avgvolume10",
+            "bid": "bid",
+            "ask": "ask",
+            "bidSize": "bidsize",
+            "askSize": "asksize",
+            "marketCap": "marketcap",
+        }
+        data = []
+        for symbol in tickers:
+            try:
+                symbol_info = yf.Ticker(symbol).info
+            except:  # noqa: E722
+                continue
+            infos = {}
+            for info in metadata:
+                infos[info] = symbol_info.get(info)
+            data.append(infos)
+        metadata = pd.DataFrame(data)
+        metadata = metadata.rename(columns=columns)
+        metadata.dyield = metadata.dyield.fillna(0)
+        metadata.sector = clean_text_column(metadata.sector)
+        metadata.industry = clean_text_column(metadata.industry)
+        metadata = metadata.set_index("symbol")
+        return metadata
+
+    def _select_nlargest_liquidity_stocks(
+        self,
+        df: pd.DataFrame,
+        n: int,
+        volume_features,
+        bid_ask_features,
+        market_cap_feature,
+    ):
+        df = df.copy()
+        scaler = StandardScaler()
+
+        # Normalize features
+        df[volume_features] = scaler.fit_transform(df[volume_features])
+        df["bid_ask_spread"] = df["ask"] - df["bid"]
+        df["bid_ask_spread"] = scaler.fit_transform(df[["bid_ask_spread"]])
+        df[market_cap_feature] = scaler.fit_transform(df[market_cap_feature])
+
+        # Calculate Liquidity Score
+        # Assign weights to each component (these weights can be adjusted based on importance)
+        weights = {"volume": 0.4, "bid_ask_spread": 0.2, "marketCap": 0.4}
+
+        # Calculate the liquidity score by combining the normalized features
+        df["liquidity_score"] = (
+            weights["volume"] * df[volume_features].mean(axis=1)
+            + weights["bid_ask_spread"] * df["bid_ask_spread"]
+            + weights["marketCap"] * df[market_cap_feature[0]]
+        )
+        df_sorted = df.sort_values(by="liquidity_score", ascending=False)
+
+        return df_sorted.nlargest(n, "liquidity_score").index
+
+    def _encode_metadata(self, df: pd.DataFrame):
+        df = df.copy()
+        # Binning each numerical feature into categories
+        df["insiders"] = pd.qcut(
+            df["insiders"], q=4, labels=["Very Low", "Low", "High", "Very High"]
+        )
+        df["institutions"] = pd.qcut(
+            df["institutions"], q=4, labels=["Very Low", "Low", "High", "Very High"]
+        )
+        df["risk"] = pd.cut(
+            df["risk"],
+            bins=[-float("inf"), 3, 5, 7, float("inf")],
+            labels=["Low", "Medium", "High", "Very High"],
+        )
+        df["short_ratio"] = pd.qcut(
+            df["short_ratio"], q=4, labels=["Very Low", "Low", "High", "Very High"]
+        )
+        df["dyield"] = pd.cut(
+            df["dyield"],
+            bins=[-float("inf"), 0.002, 0.005, 0.01, float("inf")],
+            labels=["Very Low", "Low", "High", "Very High"],
+        )
+        df["beta"] = pd.cut(
+            df["beta"],
+            bins=[-float("inf"), 0.8, 1.0, 1.2, float("inf")],
+            labels=["Low", "Moderate", "High", "Very High"],
+        )
+
+        # Encode binned features
+        binned_features = [
+            "insiders",
+            "institutions",
+            "risk",
+            "short_ratio",
+            "dyield",
+            "beta",
+            "sector",
+            "industry",
+            "exchange",
+        ]
+        label_encoders = {}
+
+        for col in binned_features:
+            le = LabelEncoder()
+            df[col] = le.fit_transform(df[col])
+            label_encoders[col] = le
+        return df, label_encoders
+
+    def prepare_boosting_data(
+        self,
+        prices: pd.DataFrame,
+        metadata: pd.DataFrame = None,
+        min_years=7,
+        universe=500,
+    ):
+        if metadata is None:
+            mcap = False
+            tickers = prices.index.get_level_values("symbol").unique()
+            metadata = self.download_metadata(tickers)
+        else:
+            mcap = True
+        YEAR = 252
+        idx = pd.IndexSlice
+        percentiles = [0.001, 0.01, 0.02, 0.03, 0.04, 0.05]
+        percentiles += [1 - p for p in percentiles[::-1]]
+        T = [1, 5, 10, 21, 42, 63]
+
+        prices.volume /= 1e3  # make vol figures a bit smaller
+        prices.index.names = ["symbol", "date"]
+        metadata.index.name = "symbol"
+        prices.reset_index().to_hdf(path_or_buf=self.datastore, key="stock_data")
+        metadata.reset_index().to_hdf(path_or_buf=self.datastore, key="stock_metadata")
+
+        # Remove stocks with insufficient observations
+        min_obs = min_years * YEAR
+        nobs = prices.groupby(level="symbol").size()
+        keep = nobs[nobs > min_obs].index
+        prices = prices.loc[idx[keep, :], :]
+
+        # # Remove duplicate symbols
+        prices = prices[~prices.index.duplicated()]
+
+        # Align price and meta data
+        metadata = metadata[~metadata.index.duplicated() & metadata.sector.notnull()]
+        metadata.sector = metadata.sector.str.lower().str.replace(" ", "_")
+        shared = (
+            prices.index.get_level_values("symbol")
+            .unique()
+            .intersection(metadata.index)
+        )
+        metadata = metadata.loc[shared, :]
+        prices = prices.loc[idx[shared, :], :]
+
+        # Limit universe
+        if mcap:
+            universe = metadata.marketcap.nlargest(universe).index
+        else:
+            volume_features = ["regvolume", "avgvolume", "avgvolume10"]
+            bid_ask_features = ["bid", "ask", "bidsize", "asksize"]
+            market_cap_feature = ["marketcap"]
+            to_drop = volume_features + bid_ask_features + market_cap_feature
+            universe = self._select_nlargest_liquidity_stocks(
+                metadata,
+                universe,
+                volume_features,
+                bid_ask_features,
+                market_cap_feature,
+            )
+            metadata = metadata.drop(to_drop, axis=1)
+        prices = prices.loc[idx[universe, :], :]
+        metadata = metadata.loc[universe]
+        metadata = self._encode_metadata(metadata)[0]
+
+        prices["dollar_vol"] = prices[["close", "volume"]].prod(1).div(1e3)
+        # compute dollar volume to determine universe
+        dollar_vol_ma = (
+            prices.dollar_vol.unstack("symbol")
+            .rolling(window=21, min_periods=1)  # 1 trading month
+            .mean()
+        )
+
+        # Rank stocks by moving average
+        prices["dollar_vol_rank"] = (
+            dollar_vol_ma.rank(axis=1, ascending=False).stack("symbol").swaplevel()
+        )
+        # Add some Basic Factors
+        prices = self._add_technical_indicators(prices)
+        # Combine Price and Meta Data
+        prices = prices.join(metadata)
+
+        # Compute Returns
+        by_sym = prices.groupby(level="symbol").close
+        for t in T:
+            prices[f"r{t:02}"] = by_sym.pct_change(t)
+        # Daily historical return deciles
+        for t in T:
+            # Reset the index to apply qcut by date without grouping errors
+            prices[f"r{t:02}dec"] = (
+                prices.reset_index(level="date")
+                .groupby("date")[f"r{t:02}"]
+                .apply(lambda x: pd.qcut(x, q=10, labels=False, duplicates="drop"))
+                .values
+            )
+        # Daily sector return deciles
+        for t in T:
+            prices[f"r{t:02}q_sector"] = prices.groupby(["date", "sector"])[
+                f"r{t:02}"
+            ].transform(lambda x: pd.qcut(x, q=5, labels=False, duplicates="drop"))
+        # Compute Forward Returns
+        for t in [1, 5, 21]:
+            prices[f"r{t:02}_fwd"] = prices.groupby(level="symbol")[f"r{t:02}"].shift(
+                -t
+            )
+
+        # Remove outliers
+        outliers = prices[prices.r01 > 1].index.get_level_values("symbol").unique()
+        prices = prices.drop(outliers, level="symbol")
+        # Create time and sector dummy variables
+        prices["year"] = prices.index.get_level_values("date").year
+        prices["month"] = prices.index.get_level_values("date").month
+        prices["weekday"] = prices.index.get_level_values("date").weekday
+        # Store Model Data
+        prices = prices.drop(["open", "close", "low", "high", "volume"], axis=1)
+        if "adj_close" in prices.columns:
+            prices = prices.drop("adj_close", axis=1)
+        prices.reset_index().to_hdf(path_or_buf=self.datastore, key="model_data")
+        return prices.sort_index()
+
+    def tickers(self):
+        return pd.read_hdf(self.outstore, "lgb/tickers").tolist()
+
+    def load_model_data(self, key="model_data"):
+        return (
+            pd.read_hdf(self.datastore, key=key)
+            .set_index(["symbol", "date"])
+            .sort_index()
+        )
+
+    def format_time(self, t):
+        """Return a formatted time string 'HH:MM:SS
+        based on a numeric time() value"""
+        m, s = divmod(t, 60)
+        h, m = divmod(m, 60)
+        return f"{h:0>2.0f}:{m:0>2.0f}:{s:0>2.0f}"
+
+    def fit(self, data: pd.DataFrame, verbose=True):
+        def get_fi(model):
+            """Return normalized feature importance as pd.Series"""
+            fi = model.feature_importance(importance_type="gain")
+            return pd.Series(fi / fi.sum(), index=model.feature_name())
+
+        def ic_lgbm(preds, train_data):
+            """Custom IC eval metric for lightgbm"""
+            is_higher_better = True
+            return "ic", spearmanr(preds, train_data.get_label())[0], is_higher_better
+
+        data = data.dropna()
+        # Hyperparameter options
+        YEAR = 252
+        base_params = dict(boosting="gbdt", objective="regression", verbose=-1)
+
+        # constraints on structure (depth) of each tree
+        max_depths = [2, 3, 5, 7]
+        num_leaves_opts = [2**i for i in max_depths]
+        min_data_in_leaf_opts = [250, 500, 1000]
+
+        # weight of each new tree in the ensemble
+        learning_rate_ops = [0.01, 0.1, 0.3]
+
+        # random feature selection
+        feature_fraction_opts = [0.3, 0.6, 0.95]
+
+        param_names = [
+            "learning_rate",
+            "num_leaves",
+            "feature_fraction",
+            "min_data_in_leaf",
+        ]
+
+        cv_params = list(
+            product(
+                learning_rate_ops,
+                num_leaves_opts,
+                feature_fraction_opts,
+                min_data_in_leaf_opts,
+            )
+        )
+        n_params = len(cv_params)
+        print(f"# Parameters: {n_params}")
+
+        # Train/Test Period Lengths
+        lookaheads = [1, 5, 21]
+        train_lengths = [int(4.5 * 252), 252]
+        test_lengths = [63]
+        test_params = list(product(lookaheads, train_lengths, test_lengths))
+        n = len(test_params)
+        test_param_sample = np.random.choice(list(range(n)), size=int(n), replace=False)
+        test_params = [test_params[i] for i in test_param_sample]
+        print("Train configs:", len(test_params))
+
+        # Categorical Variables
+        categoricals = ["year", "weekday", "month"]
+        for feature in categoricals:
+            data[feature] = pd.factorize(data[feature], sort=True)[0]
+
+        # ### Run Cross-Validation
+        labels = sorted(data.filter(like="fwd").columns)
+        features = data.columns.difference(labels).tolist()
+        label_dict = dict(zip(lookaheads, labels))
+        num_iterations = [10, 25, 50, 75] + list(range(100, 501, 50))
+        num_boost_round = num_iterations[-1]
+
+        metric_cols = (
+            param_names
+            + [
+                "t",
+                "daily_ic_mean",
+                "daily_ic_mean_n",
+                "daily_ic_median",
+                "daily_ic_median_n",
+            ]
+            + [str(n) for n in num_iterations]
+        )
+
+        for lookahead, train_length, test_length in test_params:
+            # randomized grid search
+            cvp = np.random.choice(
+                list(range(n_params)), size=int(n_params / 2), replace=False
+            )
+            cv_params_ = [cv_params[i] for i in cvp]
+
+            # set up cross-validation
+            n_splits = int(2 * YEAR / test_length)
+            print(
+                f"Lookahead: {lookahead:2.0f} | "
+                f"Train: {train_length:3.0f} | "
+                f"Test: {test_length:2.0f} | "
+                f"Params: {len(cv_params_):3.0f} | "
+                f"Train configs: {len(test_params)}"
+            )
+
+            # time-series cross-validation
+            cv = MultipleTimeSeriesCV(
+                n_splits=n_splits,
+                lookahead=lookahead,
+                test_period_length=test_length,
+                train_period_length=train_length,
+            )
+
+            label = label_dict[lookahead]
+            outcome_data = data.loc[:, features + [label]].dropna()
+
+            # binary dataset
+            lgb_data = lgb.Dataset(
+                data=outcome_data.drop(label, axis=1),
+                label=outcome_data[label],
+                categorical_feature=categoricals,
+                free_raw_data=False,
+            )
+            T = 0
+            predictions, metrics = [], []
+
+            # iterate over (shuffled) hyperparameter combinations
+            for p, param_vals in enumerate(cv_params_):
+                key = f"{lookahead}/{train_length}/{test_length}/" + "/".join(
+                    [str(p) for p in param_vals]
+                )
+                params = dict(zip(param_names, param_vals))
+                params.update(base_params)
+
+                start = time()
+                cv_preds = []
+
+                # iterate over folds
+                for i, (train_idx, test_idx) in enumerate(cv.split(X=outcome_data)):
+                    # select train subset
+                    lgb_train = lgb_data.subset(
+                        used_indices=train_idx.tolist(), params=params
+                    ).construct()
+
+                    # train model for num_boost_round
+                    model = lgb.train(
+                        params=params,
+                        train_set=lgb_train,
+                        num_boost_round=num_boost_round,
+                    )
+                    # log feature importance
+                    if i == 0:
+                        fi = get_fi(model).to_frame()
+                    else:
+                        fi[i] = get_fi(model)
+
+                    # capture predictions
+                    test_set = outcome_data.iloc[test_idx, :]
+                    X_test = test_set.loc[:, model.feature_name()]
+                    y_test = test_set.loc[:, label]
+                    y_pred = {
+                        str(n): model.predict(X_test, num_iteration=n)
+                        for n in num_iterations
+                    }
+
+                    # record predictions for each fold
+                    cv_preds.append(
+                        y_test.to_frame("y_test").assign(**y_pred).assign(i=i)
+                    )
+
+                # combine fold results
+                cv_preds = pd.concat(cv_preds).assign(**params)
+                predictions.append(cv_preds)
+
+                # compute IC per day
+                by_day = cv_preds.groupby(level="date")
+                ic_by_day = pd.concat(
+                    [
+                        by_day.apply(
+                            lambda x: spearmanr(x.y_test, x[str(n)])[0]
+                        ).to_frame(n)
+                        for n in num_iterations
+                    ],
+                    axis=1,
+                )
+                daily_ic_mean = ic_by_day.mean()
+                daily_ic_mean_n = daily_ic_mean.idxmax()
+                daily_ic_median = ic_by_day.median()
+                daily_ic_median_n = daily_ic_median.idxmax()
+
+                # compute IC across all predictions
+                ic = [
+                    spearmanr(cv_preds.y_test, cv_preds[str(n)])[0]
+                    for n in num_iterations
+                ]
+                t = time() - start
+                T += t
+
+                # collect metrics
+                metrics = pd.Series(
+                    list(param_vals)
+                    + [
+                        t,
+                        daily_ic_mean.max(),
+                        daily_ic_mean_n,
+                        daily_ic_median.max(),
+                        daily_ic_median_n,
+                    ]
+                    + ic,
+                    index=metric_cols,
+                )
+                if verbose:
+                    msg = f'\t{p:3.0f} | {self.format_time(T)} ({t:3.0f}) | {params["learning_rate"]:5.2f} | '
+                    msg += f'{params["num_leaves"]:3.0f} | {params["feature_fraction"]:3.0%} | {params["min_data_in_leaf"]:4.0f} | '
+                    msg += f" {max(ic):6.2%} | {ic_by_day.mean().max(): 6.2%} | {daily_ic_mean_n: 4.0f} | {ic_by_day.median().max(): 6.2%} | {daily_ic_median_n: 4.0f}"
+                    print(msg)
+
+                # persist results for given CV run and hyperparameter combination
+                metrics.to_hdf(path_or_buf=self.trainstore, key="metrics/" + key)
+                ic_by_day.assign(**params).to_hdf(
+                    path_or_buf=self.trainstore, key="daily_ic/" + key
+                )
+                fi.T.describe().T.assign(**params).to_hdf(
+                    path_or_buf=self.trainstore, key="fi/" + key
+                )
+                cv_preds.to_hdf(
+                    path_or_buf=self.trainstore, key="predictions/" + key, append=True
+                )
+
+    def _get_lgb_metrics(self, scope_params, lgb_train_params, daily_ic_metrics):
+        with pd.HDFStore(self.trainstore) as store:
+            for i, key in enumerate(
+                [k[1:] for k in store.keys() if k[1:].startswith("metrics")]
+            ):
+                _, t, train_length, test_length = key.split("/")[:4]
+                attrs = {
+                    "lookahead": t,
+                    "train_length": train_length,
+                    "test_length": test_length,
+                }
+                s = store[key].to_dict()
+                s.update(attrs)
+                if i == 0:
+                    lgb_metrics = pd.Series(s).to_frame(i)
+                else:
+                    lgb_metrics[i] = pd.Series(s)
+
+        id_vars = scope_params + lgb_train_params + daily_ic_metrics
+        lgb_metrics = (
+            pd.melt(
+                lgb_metrics.T.drop("t", axis=1),
+                id_vars=id_vars,
+                value_name="ic",
+                var_name="boost_rounds",
+            )
+            .dropna()
+            .apply(pd.to_numeric)
+        )
+        return lgb_metrics
+
+    def _get_lgb_ic(self, int_cols, scope_params, lgb_train_params, id_vars):
+        lgb_ic = []
+        with pd.HDFStore(self.trainstore) as store:
+            keys = [k[1:] for k in store.keys()]
+            for key in keys:
+                _, t, train_length, test_length = key.split("/")[:4]
+                if key.startswith("daily_ic"):
+                    df = (
+                        store[key]
+                        .drop(["boosting", "objective", "verbose"], axis=1)
+                        .assign(
+                            lookahead=t,
+                            train_length=train_length,
+                            test_length=test_length,
+                        )
+                    )
+                    lgb_ic.append(df)
+            lgb_ic = pd.concat(lgb_ic).reset_index()
+        lgb_ic = pd.melt(
+            lgb_ic, id_vars=id_vars, value_name="ic", var_name="boost_rounds"
+        ).dropna()
+        lgb_ic.loc[:, int_cols] = lgb_ic.loc[:, int_cols].astype(int)
+        return lgb_ic
+
+    def _get_lgb_params(self, data, scope_params, lgb_train_params, t=5, best=0):
+        param_cols = scope_params[1:] + lgb_train_params + ["boost_rounds"]
+        df = data[data.lookahead == t].sort_values("ic", ascending=False).iloc[best]
+        return df.loc[param_cols]
+
+    def _get_lgb_key(self, t, p):
+        key = f"{t}/{int(p.train_length)}/{int(p.test_length)}/{p.learning_rate}/"
+        return (
+            key + f"{int(p.num_leaves)}/{p.feature_fraction}/{int(p.min_data_in_leaf)}"
+        )
+
+    def _select_ic(self, params, ic_data, lookahead):
+        return ic_data.loc[
+            (ic_data.lookahead == lookahead)
+            & (ic_data.train_length == params.train_length)
+            & (ic_data.test_length == params.test_length)
+            & (ic_data.learning_rate == params.learning_rate)
+            & (ic_data.num_leaves == params.num_leaves)
+            & (ic_data.feature_fraction == params.feature_fraction)
+            & (ic_data.boost_rounds == params.boost_rounds),
+            ["date", "ic"],
+        ].set_index("date")
+
+    def get_trade_prices(self, tickers, start, end):
+        idx = pd.IndexSlice
+        with pd.HDFStore(self.datastore) as store:
+            data = store.select("stock_data")
+            data = data.set_index(["symbol", "date"]).sort_index()
+            data = data[~data.index.duplicated()]
+        return (
+            data.loc[idx[tickers, start:end], "open"]
+            .unstack("symbol")
+            .sort_index()
+            .shift(-1)
+            .tz_convert("UTC")
+        )
+
+    def plot_ic(self, lgb_ic, lgb_daily_ic, scope_params, lgb_train_params):
+        fig, axes = plt.subplots(nrows=1, ncols=2, figsize=(20, 5))
+        axes = axes.flatten()
+        for i, t in enumerate([1, 21]):
+            params = self._get_lgb_params(
+                lgb_daily_ic, scope_params, lgb_train_params, t=t, best=0
+            )
+            data = self._select_ic(params, lgb_ic, lookahead=t).sort_index()
+            rolling = data.rolling(63).ic.mean().dropna()
+            avg = data.ic.mean()
+            med = data.ic.median()
+            rolling.plot(
+                ax=axes[i],
+                title=f"Horizon: {t} Day(s) | IC: Mean={avg*100:.2f}   Median={med*100:.2f}",
+            )
+            axes[i].axhline(avg, c="darkred", lw=1)
+            axes[i].axhline(0, ls="--", c="k", lw=1)
+
+        fig.suptitle("3-Month Rolling Information Coefficient", fontsize=16)
+        fig.tight_layout()
+        fig.subplots_adjust(top=0.92)
+
+    def plot_metrics(self, lgb_metrics, lgb_daily_ic, t=1):
+        # Visualization
+        sns.jointplot(x=lgb_metrics.daily_ic_mean, y=lgb_metrics.ic)
+
+        sns.catplot(
+            x="lookahead",
+            y="ic",
+            col="train_length",
+            row="test_length",
+            data=lgb_metrics,
+            kind="box",
+        )
+        sns.catplot(
+            x="boost_rounds",
+            y="ic",
+            col="train_length",
+            row="test_length",
+            data=lgb_daily_ic[lgb_daily_ic.lookahead == t],
+            kind="box",
+        )
+
+    def get_best_predictions(
+        self, lgb_daily_ic, scope_params, lgb_train_params, lookahead=1, topn=10
+    ):
+        for best in range(topn):
+            best_params = self._get_lgb_params(
+                lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=best
+            )
+            key = self._get_lgb_key(lookahead, best_params)
+            rounds = str(int(best_params.boost_rounds))
+            if best == 0:
+                best_predictions = pd.read_hdf(self.trainstore, "predictions/" + key)
+                best_predictions = best_predictions[rounds].to_frame(best)
+            else:
+                best_predictions[best] = pd.read_hdf(
+                    self.trainstore, "predictions/" + key
+                )[rounds]
+        best_predictions = best_predictions.sort_index()
+        best_predictions.reset_index().to_hdf(
+            path_or_buf=self.outstore, key=f"lgb/train/{lookahead:02}"
+        )
+        return best_predictions
+
+    def apply_alphalen_analysis(self, factor_data, tearsheet=True, verbose=True):
+        # Compute Alphalens metrics
+        mean_quant_ret_bydate, std_quant_daily = perf.mean_return_by_quantile(
+            factor_data,
+            by_date=True,
+            by_group=False,
+            demeaned=True,
+            group_adjust=False,
+        )
+        factor_returns = perf.factor_returns(factor_data)
+        mean_quant_ret, std_quantile = perf.mean_return_by_quantile(
+            factor_data, by_group=False, demeaned=True
+        )
+
+        mean_quant_rateret = mean_quant_ret.apply(
+            rate_of_return, axis=0, base_period=mean_quant_ret.columns[0]
+        )
+
+        mean_quant_ret_bydate, std_quant_daily = perf.mean_return_by_quantile(
+            factor_data,
+            by_date=True,
+            by_group=False,
+            demeaned=True,
+            group_adjust=False,
+        )
+
+        mean_quant_rateret_bydate = mean_quant_ret_bydate.apply(
+            rate_of_return,
+            base_period=mean_quant_ret_bydate.columns[0],
+        )
+
+        compstd_quant_daily = std_quant_daily.apply(
+            std_conversion, base_period=std_quant_daily.columns[0]
+        )
+
+        alpha_beta = perf.factor_alpha_beta(factor_data, demeaned=True)
+
+        mean_ret_spread_quant, std_spread_quant = perf.compute_mean_returns_spread(
+            mean_quant_rateret_bydate,
+            factor_data["factor_quantile"].max(),
+            factor_data["factor_quantile"].min(),
+            std_err=compstd_quant_daily,
+        )
+        if verbose:
+            print(
+                mean_ret_spread_quant.mean()
+                .mul(10000)
+                .to_frame("Mean Period Wise Spread (bps)")
+                .join(alpha_beta.T)
+                .T
+            )
+
+        fig, axes = plt.subplots(ncols=3, figsize=(18, 4))
+
+        plotting.plot_quantile_returns_bar(mean_quant_rateret, ax=axes[0])
+        plt.setp(axes[0].xaxis.get_majorticklabels(), rotation=0)
+        axes[0].set_xlabel("Quantile")
+
+        plotting.plot_cumulative_returns_by_quantile(
+            mean_quant_ret_bydate["1D"],
+            freq=pd.tseries.offsets.BDay(),
+            period="1D",
+            ax=axes[1],
+        )
+        axes[1].set_title("Cumulative Return by Quantile (1D Period)")
+
+        title = "Cumulative Return - Factor-Weighted Long/Short PF (1D Period)"
+        plotting.plot_cumulative_returns(
+            factor_returns["1D"],
+            period="1D",
+            freq=pd.tseries.offsets.BDay(),
+            title=title,
+            ax=axes[2],
+        )
+
+        fig.suptitle("Alphalens - Validation Set Performance", fontsize=14)
+        fig.tight_layout()
+        fig.subplots_adjust(top=0.85)
+
+        # Summary Tearsheet
+        create_summary_tear_sheet(factor_data)
+        create_full_tear_sheet(factor_data)
+
+    def evaluate(self, remove_instore=False, lookahead=1, verbose=True):
+        scope_params = ["lookahead", "train_length", "test_length"]
+        daily_ic_metrics = [
+            "daily_ic_mean",
+            "daily_ic_mean_n",
+            "daily_ic_median",
+            "daily_ic_median_n",
+        ]
+        lgb_train_params = [
+            "learning_rate",
+            "num_leaves",
+            "feature_fraction",
+            "min_data_in_leaf",
+        ]
+
+        lgb_metrics = self._get_lgb_metrics(
+            scope_params, lgb_train_params, daily_ic_metrics
+        )
+        # Summary Metrics by Fold
+        lgb_metrics.to_hdf(path_or_buf=self.outstore, key="lgb/metrics")
+
+        # Information Coefficient by Day
+        int_cols = ["lookahead", "train_length", "test_length", "boost_rounds"]
+        id_vars = ["date"] + scope_params + lgb_train_params
+        lgb_ic = self._get_lgb_ic(int_cols, scope_params, lgb_train_params, id_vars)
+        lgb_ic.to_hdf(path_or_buf=self.outstore, key="lgb/ic")
+        lgb_daily_ic = (
+            lgb_ic.groupby(id_vars[1:] + ["boost_rounds"])
+            .ic.mean()
+            .to_frame("ic")
+            .reset_index()
+        )
+        lgb_daily_ic.to_hdf(path_or_buf=self.outstore, key="lgb/daily_ic")
+
+        # Cross-validation Result: Best Hyperparameters
+        if verbose:
+            print(
+                lgb_daily_ic.groupby("lookahead", group_keys=False).apply(
+                    lambda x: x.nlargest(3, "ic")
+                )
+            )
+        lgb_metrics.groupby("lookahead", group_keys=False).apply(
+            lambda x: x.nlargest(3, "ic")
+        )
+        lgb_metrics.groupby("lookahead", group_keys=False).apply(
+            lambda x: x.nlargest(3, "ic")
+        ).to_hdf(path_or_buf=self.outstore, key="lgb/best_model")
+        if verbose:
+            print(
+                lgb_metrics.groupby("lookahead", group_keys=False).apply(
+                    lambda x: x.nlargest(3, "daily_ic_mean")
+                )
+            )
+
+        # Visualization
+        if verbose:
+            self.plot_metrics(lgb_metrics, lgb_daily_ic, t=lookahead)
+
+        # AlphaLens Analysis - Validation Performance
+        lgb_daily_ic = pd.read_hdf(self.outstore, "lgb/daily_ic")
+        best_params = self._get_lgb_params(
+            lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=0
+        )
+        best_params.to_hdf(path_or_buf=self.outstore, key="lgb/best_params")
+
+        if verbose:
+            self.plot_ic(lgb_ic, lgb_daily_ic, scope_params, lgb_train_params)
+
+        # Get Predictions for Validation Period
+        best_predictions = self.get_best_predictions(
+            lgb_daily_ic, scope_params, lgb_train_params, lookahead=lookahead, topn=10
+        )
+        test_tickers = best_predictions.index.get_level_values("symbol").unique()
+        start = best_predictions.index.get_level_values("date").min()
+        end = best_predictions.index.get_level_values("date").max()
+        trade_prices = self.get_trade_prices(test_tickers, start, end)
+        pd.Series(test_tickers).to_hdf(path_or_buf=self.outstore, key="lgb/tickers")
+        # We average the top five models and provide the corresponding prices to Alphalens,
+        # in order to compute the mean period-wise
+        # return earned on an equal-weighted portfolio invested in the daily factor quintiles
+        # for various holding periods:
+        factor = (
+            best_predictions.iloc[:, :5]
+            .mean(1)
+            .dropna()
+            .tz_convert("UTC", level="date")
+            .swaplevel()
+        )
+        # Create AlphaLens Inputs
+        if verbose:
+            factor_data = get_clean_factor_and_forward_returns(
+                factor=factor,
+                prices=trade_prices,
+                quantiles=5,
+                periods=(1, 5, 10, 21),
+                max_loss=1,
+            )
+            self.apply_alphalen_analysis(factor_data, tearsheet=True, verbose=True)
+        # Delete the temporary files
+        if remove_instore:
+            os.remove(self.trainstore)
+
+    def make_predictions(
+        self, data: pd.DataFrame, mode="test", lookahead=1, verbose=True
+    ):
+        data = data.copy()
+        YEAR = 252
+        scope_params = ["lookahead", "train_length", "test_length"]
+        lgb_train_params = [
+            "learning_rate",
+            "num_leaves",
+            "feature_fraction",
+            "min_data_in_leaf",
+        ]
+
+        base_params = dict(boosting="gbdt", objective="regression", verbose=-1)
+
+        categoricals = ["year", "month", "weekday"]
+        labels = sorted(data.filter(like="_fwd").columns)
+        features = data.columns.difference(labels).tolist()
+        label = f"r{lookahead:02}_fwd"
+        for feature in categoricals:
+            data[feature] = pd.factorize(data[feature], sort=True)[0]
+
+        if mode == "test":
+            data = data.dropna().sort_index()
+        elif mode == "live":
+            data[labels] = data[labels].fillna(0)
+            data = data.sort_index().dropna()
+
+        lgb_data = lgb.Dataset(
+            data=data[features],
+            label=data[label],
+            categorical_feature=categoricals,
+            free_raw_data=False,
+        )
+        # Generate predictions
+        lgb_daily_ic = pd.read_hdf(self.outstore, "lgb/daily_ic")
+
+        for position in range(10):
+            params = self._get_lgb_params(
+                lgb_daily_ic, scope_params, lgb_train_params, t=lookahead, best=position
+            )
+
+            params = params.to_dict()
+
+            for p in ["min_data_in_leaf", "num_leaves"]:
+                params[p] = int(params[p])
+            train_length = int(params.pop("train_length"))
+            test_length = int(params.pop("test_length"))
+            num_boost_round = int(params.pop("boost_rounds"))
+            params.update(base_params)
+            if verbose:
+                print(f"\nPosition: {position:02}")
+
+            # 1-year out-of-sample period
+            n_splits = int(YEAR / test_length)
+            cv = MultipleTimeSeriesCV(
+                n_splits=n_splits,
+                test_period_length=test_length,
+                lookahead=lookahead,
+                train_period_length=train_length,
+            )
+
+            predictions = []
+            for i, (train_idx, test_idx) in enumerate(cv.split(X=data), 1):
+                if verbose:
+                    print(i, end=" ", flush=True)
+                lgb_train = lgb_data.subset(
+                    used_indices=train_idx.tolist(), params=params
+                ).construct()
+
+                model = lgb.train(
+                    params=params,
+                    train_set=lgb_train,
+                    num_boost_round=num_boost_round,
+                )
+
+                test_set = data.iloc[test_idx, :]
+                y_test = test_set.loc[:, label].to_frame("y_test")
+                y_pred = model.predict(test_set.loc[:, model.feature_name()])
+                predictions.append(y_test.assign(prediction=y_pred))
+
+            if position == 0:
+                test_predictions = pd.concat(predictions).rename(
+                    columns={"prediction": position}
+                )
+            else:
+                test_predictions[position] = pd.concat(predictions).prediction
+
+        by_day = test_predictions.groupby(level="date")
+        for position in range(10):
+            if position == 0:
+                ic_by_day = by_day.apply(
+                    lambda x: spearmanr(x.y_test, x[position])[0]
+                ).to_frame()
+            else:
+                ic_by_day[position] = by_day.apply(
+                    lambda x: spearmanr(x.y_test, x[position])[0]
+                )
+        if verbose:
+            print(ic_by_day.describe())
+        test_predictions.reset_index().to_hdf(
+            path_or_buf=self.outstore, key=f"lgb/test/{lookahead:02}"
+        )
+        return test_predictions
+
+    def load_predictions(self, predictions=None, lookahead=1):
+        if predictions is None:
+            predictions = pd.concat(
+                [
+                    pd.read_hdf(self.outstore, f"lgb/train/{lookahead:02}"),
+                    pd.read_hdf(self.outstore, f"lgb/test/{lookahead:02}").drop(
+                        "y_test", axis=1
+                    ),
+                ]
+            )
+            predictions = predictions.set_index(["symbol", "date"])
+
+        predictions = (
+            predictions.loc[~predictions.index.duplicated()]
+            .iloc[:, :10]
+            .mean(1)
+            .sort_index()
+            .dropna()
+            .to_frame("prediction")
+        )
+        tickers = predictions.index.get_level_values("symbol").unique().tolist()
+        try:
+            return (predictions.unstack("symbol").prediction.tz_convert("UTC")), tickers
+        except TypeError:
+            return (predictions.unstack("symbol").prediction.tz_localize("UTC")), tickers
+
+    def assert_last_date(self, predictions: pd.DataFrame):
+        """
+        Usefull in Live Trading to ensure that the last date in the predictions
+        is the previous day, so it predicts today's returns.
+        """
+        last_date = predictions.index.get_level_values("date").max()
+        try:
+            if last_date.tzinfo is None:
+                last_date = last_date.tz_localize("UTC")
+            else:
+                last_date = last_date.tz_convert("UTC")
+            last_date = last_date.normalize()
+        except Exception as e:
+            print(f"Error getting last date: {e}")
+        try:
+            days = 3 if datetime.now().strftime("%A") == "Monday" else 1
+            td = (
+                last_date
+                - (pd.Timestamp.now(tz="UTC") - pd.Timedelta(days=days)).normalize()
+            )
+            assert (
+                td.days == days or last_date == (pd.Timestamp.now(tz="UTC")).normalize()
+            )
+            return True
+        except AssertionError:
+            return False
+
+    def clean_stores(self, *stores):
+        for store in stores:
+            if os.path.exists(store):
+                os.remove(store)