Included with purchase

CLAUDE.md Skill Files

Six Markdown files written for Claude Code to consume. Append them to your CLAUDE.md and Claude instantly understands the full methodology — no copy-pasting documentation into every prompt.

install_skills.sh

# After download, merge skills into your project CLAUDE.md
unzip ndx-pit-dataset.zip -d ~/ndx-pit-data/
cp ~/ndx-pit-data/*.parquet crucible/data/

# Append all skill files to CLAUDE.md
cat ~/ndx-pit-data/skills/SKILL_*.md >> crucible/CLAUDE.md

# Claude Code reads CLAUDE.md on every session start
# Now Claude knows the full methodology — without any prompt engineering
claude "build a momentum strategy using triple barrier labels and CPCV"

SKILL_pit_dataset.md

Point-in-Time filtering

Teaches Claude the exact API for PIT universe construction. Includes correct vs wrong code patterns, the 208 bps bias measurement, and every anti-pattern that introduces survivorship bias.

PIT filteringUniverse constructionSurvivorship biasyfinance pitfalls

SKILL_triple_barrier.md

López de Prado label generation

Explains triple barrier labeling from AFML Chapter 3. Covers barrier calibration via ATR, CUSUM event filtering, and why simple return labels produce look-ahead bias in real backtests.

Triple barrierCUSUM eventsPT/SL calibrationLabel look-ahead

SKILL_cpcv.md

Combinatorial Purged Cross-Validation

The full CPCV methodology. Purging overlapping labels, embargo periods, C(N,K) path generation, and how to interpret a Sharpe distribution rather than a single lucky number.

PurgingEmbargoC(6,2)=15 pathsSharpe distribution

SKILL_feature_engineering.md

Stationary financial features

14 production features with stationarity guarantees. Cross-sectional z-scoring, fractional differentiation, momentum/volatility/microstructure taxonomy, and look-ahead failure modes.

CS z-scoringFrac diff14 featuresStationarity

SKILL_position_sizing.md

Kelly, vol targeting, drawdown scaling

Kelly criterion and half-Kelly rationale, signal-proportional sizing, inverse-vol weights for equal risk contribution, and drawdown-based position scaling when a strategy is losing.

Half-KellyVol targetingDrawdown scalarMax position

SKILL_regime_detection.md

200d MA, vol regime, HMM

Binary 200d MA regime filter, volatility expansion scalar, 2-state HMM for advanced regime detection, and the T+1 lag rule that prevents look-ahead in regime signals.

200d MA filterVol regimeHMM statesT+1 lag

Get all 6 skills with the dataset

The skill files are only available as part of the NDX PIT Dataset purchase.