Machine Learning

The jesse.research module provides a complete machine-learning pipeline for Jesse strategies — from collecting labelled training data during a backtest, to training and evaluating a model, to deploying it live inside your strategy to filter or score signals.

The system is built around three public research functions:

Function	Purpose
gather_ml_data	Run a backtest in "gather mode" and collect labelled feature samples
train_model	Train any scikit-learn–compatible estimator on that data; produces a full report
load_ml_data_csv	Reload previously saved data points from a CSV without re-running a backtest

Typical workflow

1.  Write your strategy (self.ml_mode defaults to "gather" automatically)
    → call record_features({...}) at each signal bar
    → call record_label(name, value) when the outcome is known
    → use before() / after() for continuous observation loops (vertical barrier)
    → use on_open_position / on_close_position for trade-based labelling

2.  Run gather_ml_data() over a long historical window
    → auto-saves <Name>_data.csv inside strategies/<Name>/ml_data/
    → aim for 1,000+ samples; 2,000–5,000 is a healthy range

3.  Run train_model() with your chosen estimator and task type
    → compare multiple estimators with GridSearchCV before committing
    → inspect feature importance, metrics, calibration, threshold sweep
    → saves model.pkl + scaler.pkl + feature_importance.pkl inside strategies/<Name>/

4.  Switch your strategy to deploy mode (set self.ml_mode = "deploy")
    → call ml_predict() for regression or ml_predict_proba() for classification
    → model loading, scaling, and feature ordering are all handled automatically
    → gate or weight entry signals using the returned scalar or probability dict

5.  Backtest the filtered strategy and compare against the baseline
    → iterate on features, task type, estimator, and threshold
    → re-gather and re-train whenever you change the primary signal or features

Import

from jesse.research import (
    gather_ml_data,
    load_ml_data_csv,
    train_model,
)

Task types

train_model accepts a task parameter that controls how the label is interpreted, which estimator type is expected, and what metrics and report sections are produced.

task	Label type	Estimator	Key metrics
"binary"	bool, or any numeric (> 0 = positive)	Classifier with predict_proba	Accuracy, ROC AUC, MCC, calibration, precision/threshold sweep
"multiclass"	Integer class label (-1, 0, +1, …)	Multi-class classifier with predict_proba	Accuracy, macro ROC AUC, MCC, per-class precision/recall/F1, N×N confusion matrix
"regression"	Continuous float	Regressor	MAE, RMSE, R², Spearman ρ

Estimator requirements by task

• "binary" and "multiclass" — the estimator must implement predict_proba. For SVC, either set probability=True or wrap it in CalibratedClassifierCV.
• "regression" — pass any sklearn regressor (one that sklearn.base.is_regressor returns True for).

TIP

If you are just starting out, use "binary". It is the simplest to reason about, trains the fastest, and produces the most actionable output (probability calibration + confidence threshold sweep) for live trading. Move to "multiclass" when you need to distinguish direction from a neutral/no-trade outcome, and to "regression" only when you need predicted return magnitudes for position sizing.

Label types

record_label(name, value) accepts three value types. All of them survive the CSV round-trip correctly — bool, int, and float are restored to their natural Python types when reloaded via load_ml_data_csv. They are interpreted by train_model according to the rules below.

Python type	Example call	How "binary" task maps it	How "multiclass" task maps it	How "regression" task maps it
bool	record_label("win", True)	True → class 1, False → class 0	Not applicable — use int	Not applicable — use float
int	record_label("triple_barrier", 1)	> 0 → class 1, ≤ 0 → class 0	Passed as-is via int(value) (-1, 0, 1)	Cast to float
float	record_label("return_pct", 0.034)	> 0 → class 1, ≤ 0 → class 0	Not applicable — use "regression"	Passed as-is via float(value)

WARNING

Multiple labels per data point are not supported. Each call to record_label finalises the current data point and clears it. record_features called again after record_label starts a fresh data point — it does not append to the previous one. To predict two independent outcomes (e.g. direction and volatility regime), run separate gather + train passes, each with its own label name and CSV file.

Pages in this section

• Gathering Data — how to write the gather-mode strategy and run gather_ml_data; vertical-barrier vs trade-based labelling patterns
• Stationarity — why features must be stationary, common non-stationary pitfalls, and how to transform raw financial data into stationary inputs
• Binary Classification — task="binary", boolean labels, calibration, confidence threshold sweep, estimator recommendations
• Multiclass Classification — task="multiclass", triple-barrier labels, per-class metrics, the 0-class decision
• Regression — task="regression", forward log-return targets, MAE/R²/Spearman, interpreting weak results
• Meta-Labeling — secondary model that learns bet size on top of a primary directional signal; F1-score workflow, confidence-based position sizing, vertical-barrier gather pattern
• Deploying in a Strategy — ml_features() as single source of truth, ml_predict() / ml_predict_proba() for zero-boilerplate inference, signal-first model calling, live trading considerations

train_model return value

train_model returns a dict with the following keys. Some keys are only present for specific task types.

Key	Present for	Description
model	all	Fitted estimator
scaler	all	Fitted StandardScaler
feature_names	all	Sorted list of feature names used in training
metrics	all	Task-specific metrics dict (see below)
feature_importance	all	RFE ranks, F-values, correlations, CV impacts, consensus ranks
feature_impact	all	Per-feature accuracy/MAE delta when retrained without each feature
train_test_info	all	Train/test sizes and date ranges
calibration	"binary" only	Probability calibration buckets list
class_weights	"binary" only	Suggested {0: float, 1: float} class weight dict

Metrics dict keys by task

Task	Metric keys
"binary"	accuracy, roc_auc, mcc, confusion_matrix, precision, recall, f1, support, tn, fp, fn, tp
"multiclass"	accuracy, roc_auc_macro, mcc, confusion_matrix, classes, precision, recall, f1, support
"regression"	mae, rmse, r2, spearman