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Future work

Captured items, no order, no commitments. The presence of an item here is a substitute for adding it now, not a promise to add it later. Every feature listed below was explicitly considered and excluded from the v1.0 scope.

Optimization

  • Hierarchical Risk Parity (López de Prado 2016)
  • Risk-parity / equal-risk-contribution as a first-class objective
  • Conditional Value-at-Risk (CVaR) minimization (Rockafellar-Uryasev) as primary objective
  • Robust optimization with ellipsoidal uncertainty sets (Tütüncü-Koenig 2004)
  • Resampled efficient frontier (Michaud 1998)
  • Multi-period dynamic programming optimization

Estimators

  • Nonlinear shrinkage (Ledoit-Wolf 2017, 2020)
  • Rotation-invariant estimators (Bouchaud, Bun, Knowles, Potters)
  • Factor-based covariance via factorlab integration
  • Bayesian hierarchical models
  • GARCH-family multivariate volatility

Data

  • Real-time / streaming data feeds
  • Intraday / tick data
  • Options chains and Greeks
  • Fundamentals (earnings, balance sheets)
  • Alternative data
  • Multi-currency FX conversion
  • CRSP / Compustat adapters

Backtesting and execution

  • Custom transaction-cost models beyond flat bps
  • Tax-aware rebalancing (wash sales, lot accounting)
  • Live broker integration
  • Order management
  • Regime-switching strategies
  • Machine-learning return forecasts as estimator inputs

Visualization and tooling

  • Interactive Pyodide notebooks in docs
  • PDF report export
  • Custom Plotly themes per user
  • R bindings
  • GPU acceleration

Process notes

If a future maintainer wants to move any of these into scope, the gate is: 1. Open a GitHub issue tagged proposal:v2. 2. Reference the published literature or institutional precedent. 3. Demonstrate that the feature does not duplicate factorlab, riskmetrics, or ma-crossover-backtester. 4. Demonstrate that the feature does not change the project's narrative ("Markowitz, validated, with honest reporting") into something else.