ml4t-latent-factors SKILL.md skillA
ml4t-latent-factors from ml4t/skills is an agent skill: a SKILL.md folder an AI agent loads when a task calls for it.
mdr add ml4t/skills/ml4t-latent-factors@git:20260901.32123e7Pins git:20260901.32123e7 in mdr.lock. Pin the fingerprint instead.
- Audit grade
- A, 17 of 17 checks passed
- Kind
- SKILL.md skill
- Repository
- ml4t/skills
- Path
features/latent-factors/SKILL.md- Versions recorded
- 4
- Latest version
- git:20260901.32123e7, committed Sep 1, 2026
- First version recorded
- May 28, 2026
- Size
- 5,400 bytes
- Repository stars
- 41
- License
- Apache-2.0
Extract latent factors from return panels using PCA, IPCA, or autoencoders with proper noise diagnostics. Use when reducing dimensionality or discovering risk structure.
Collected from public GitHub. Every version is saved exactly as it was and never changes. Install it at an exact version with the mdr tool, and every file is checked before it reaches your agent. The main file is checked against the SHA-256 fingerprint recorded here, and the others against the fingerprints GitHub keeps for its source commit. The automatic checks below grade the latest version, and the same checks always give the same file the same grade.
What the file says
# Latent Factor Extraction PCA explains 80% of return variance - but variance is not alpha. The first principal component captures market beta, which earns the equity premium, not a tradeable edge. Confusing variance-explained with pricing power is the central mistake. ## The Problem With 400+ published return predictors, hand-picking factors invites overfitting. Latent factor methods (PCA, autoencoders) extract structure directly from data. But three failure modes undermine them: 1. **Variance != pricing** - high-variance factors may capture idiosyncratic noise, not compensated risk. 2. **Eigenvector instability** - when assets (N) approach time periods (T), sample covariance is dominated by noise. Marchenko-Pastur theory gives the noise boundary. 3. **Full-sample PCA is leakage** - fitting PCA on the complete panel, then testing on a held-out period, leaks the covariance structure of the test period into training. ## The Pattern ### WRONG ```python from sklearn.decomposition import PCA import numpy as np # Fit PCA on FULL return panel, then use factors for prediction pca = PCA(n_components=5) factors = pca.fit_transform(returns_panel) # Full-sample fit = leakage …
Read the whole file at its exact version.
How to install
mdr add ml4t/skills/ml4t-latent-factors@sha256:71de3c06913bb767The line at the top of this page pins the label git:20260901.32123e7, which is what most people want. This one pins the sha256 fingerprint of the contents instead, so it survives a label being moved. Either way the exact version is written to mdr.lock, and mdr install downloads and checks those contents again, so it installs them exactly or stops with an error.
[](https://markdownregistry.com/a/art_2bdsxwqq7k5fnjr2)
1 badge image fetches in 30 days. What the badge shows.
Versions
The registry has recorded 4 versions of this file, between May 28, 2026 and Sep 1, 2026, about one every 32 days.
| version | committed | commit | size | audit | |
|---|---|---|---|---|---|
| git:20260901.32123e7 latest | 2026-09-01 | 32123e7 | 5,400 B | A | view · diff |
| git:20260901.cf90cdd | 2026-09-01 | cf90cdd | 5,494 B | A | view · diff |
| git:20260901.c415df0 | 2026-09-01 | c415df0 | 4,989 B | A | view · diff |
| git:20260528.303089e | 2026-05-28 | 303089e | 5,025 B | A | view |
Audit of the latest version
- pass: Frontmatter block present
- pass: Frontmatter declares a name
- pass: Frontmatter declares a description
- pass: Size between 200 bytes and 200 KB (5400 bytes)
- pass: No zero-width or bidi control characters
- pass: No instruction hidden inside an HTML comment
- pass: No link to an exfiltration or paste host
- pass: No credential-shaped string
- pass: No instruction to send local credentials anywhere
- pass: No text hidden with inline styles
- pass: No prompt-injection phrasing
- pass: No curl or wget piped into a shell
- pass: No recursive delete of root, home or parent
- pass: No instruction to read or print local credentials
- pass: No base64 blob over 200 characters
- pass: No link to a raw IP address
- pass: No script tag
Source
ml4t/skills · 41 stars · license Apache-2.0 · pushed 2026-11-08 · branch main
API
GET https://markdownregistry.com/api/v1/artifacts/art_2bdsxwqq7k5fnjr2 GET https://markdownregistry.com/api/v1/resolve?ref=ml4t/skills/ml4t-latent-factors GET https://markdownregistry.com/api/v1/blob/71de3c06913bb767867c9a05e91c7d257cc84e30b18c86e188fd269ec0f926c1
Your AI assistant does the legwork. You hear about the deals worth your word. Hand yours the standing instructions at modelranch.com and it joins the network that reads files like this one.
Guides: the SKILL.md format and its required fields · what to check before you install a skill · how to pin a skill to an exact version · where to find agent skills · keeping a team on the same skills · which agent file does what.