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rgourleyrgourley/quant-garage/skills/change-point-detector/SKILL.md

change-point-detector

Skill7 starsChanged 4 months agoLicence not identifiedView on GitHub

Bayesian Online Change-Point Detection (BOCPD) on a ticker's daily log returns. Detects points in time where the return-generating distribution changed (regime shift in mean, vol, or both), reports the confidence at each detected boundary, and emits per-segment statistics (annualized return, annualized vol) so the reader can see what changed. Uses Adams and MacKay (2007) BOCPD with a Normal-Gamma prior on (mu, tau) and a Student-t predictive so hyperparameters update in closed form. Requires Stocks Basic. Runs on the free tier.

  • Reads credentials

The file

We split this skill into the rules it gives an agent

2 rules. About 0 are common, 2 are distinctive, and 0 are very specific to this project.

  • ≈0

    Common · estimate

    Many files like this have a rule of this kind.

  • ≈2

    Distinctive · estimate

    This author's own choices. Worth a look.

  • 0

    Very specific

    Tied to their project's names, files or tools. Probably skip.

The licence could not be identified — read it at the source. We count its rules but don't quote them. Read them on GitHub.

≈ “Common” is an estimate: at least 1 in 5 of the 350,495 skill files we read have a rule of the same kind, not the same words. “Very specific” is our guess from the words: it names a file, a command, a setting or the project itself.

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