ml4t-non-stationarity skillA
ml4t-non-stationarity is agent-read markdown (skill) from ml4t/skills: Handle changing statistical properties in financial time series. Use when features or model performance degrade over time..
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What the file says
# Non-Stationarity
Financial time series have means, variances, and correlations that change over time. A model trained on 2015-2019 low-volatility data will underperform in a 2020 regime shift if it assumes fixed parameters.
## The Problem
Global normalization (subtracting the full-sample mean and dividing by the full-sample standard deviation) embeds future information into every observation. It also assumes the distribution is stable, which is false for financial data. Post-2008 interest rates, COVID volatility, and factor decay are all examples of structural shifts that invalidate fixed-parameter assumptions.
A model trained on globally normalized features will overfit to the training regime and degrade when the regime changes.
## The Pattern
### WRONG
```python
# Global normalization: uses future data and assumes stationarity
X_norm = (X - X.mean(axis=0)) / X.std(axis=0)
```
### CORRECT
```python
import polars as pl
# Expanding normalization: only uses past data, adapts to changing distribution
features = pl.DataFrame({"feat": feat_values, "timestamp": dates})
features = features.with_columns(
feat_norm=(
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How to install
mdr add ml4t/skills/ml4t-non-stationarity@git:20260901.c415df0mdr add ml4t/skills/ml4t-non-stationarity@sha256:5d482bd32ddfb8c4Pin to a label to follow the author's releases, or to a sha256 to freeze the exact bytes forever. Either way the resolved hash is written to mdr.lock, and mdr install reproduces it on any machine.
[](https://markdownregistry.com/a/art_h7ucgulyczock22z)
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Versions
| version | committed | commit | size | audit | |
|---|---|---|---|---|---|
| git:20260901.c415df0 latest | 2026-09-01 | c415df0 | 3,796 B | A | view · diff |
| git:20260528.303089e | 2026-05-28 | 303089e | 3,818 B | A | view |
Audit of the latest version
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Source
ml4t/skills · 19 stars · license Apache-2.0 · pushed 2026-09-24 · branch main
API
GET https://markdownregistry.com/api/v1/artifacts/art_h7ucgulyczock22z GET https://markdownregistry.com/api/v1/resolve?ref=ml4t/skills/ml4t-non-stationarity GET https://markdownregistry.com/api/v1/blob/5d482bd32ddfb8c4434f53882710da3dfb0eb4f985f87da1948b561a6367b62c
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