Constantineople / Assignment1
根据20170925-华泰期货-CTA量化策略因子系列(二):动量因子研报进行复现
☆20Updated last year
Alternatives and similar repositories for Assignment1:
Users that are interested in Assignment1 are comparing it to the libraries listed below
- 复现华泰证券《强化学习初探与DQN择时》研报中的DQN模型与效果☆31Updated 2 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- Backtrader量化策略研报复现☆27Updated 2 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆42Updated 5 years ago
- 沪深300指数纯因子组合构建☆49Updated 5 years ago
- 多因子模型相关☆22Updated 3 years ago
- 因子构建、单因子测试☆70Updated 3 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆58Updated 4 years ago
- 沪深300指数增强模型☆77Updated 5 years ago
- 因子回测框架☆102Updated last year
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆88Updated 5 years ago
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆59Updated last year
- Stock factor mining with CNN and GRU.☆47Updated 2 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆111Updated last year
- 分享量化投资相关的论文,代码和代码复现。☆75Updated last year
- Quant_Strategy☆24Updated 2 years ago
- High frequency factors based on order and trade data.☆40Updated last year
- An end-to-end stock factors mining neural network framework.☆28Updated last year
- BackTrader多因子回测框架 (Multi-factors backtesting framework for BackTrader)☆102Updated 3 years ago
- 一个简单的量化研究框架,具备基本的数据获取、因子分析、机器学习、回测及结果分析功能☆44Updated 2 years ago
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆34Updated 5 months ago
- 量化研究-多因子模型☆19Updated last year
- 计算Barra因子及其收益率☆11Updated 2 years ago
- 我自己的单因子研究框架☆22Updated last year
- 多因子选股(股票) ,基于Fama三因子构成的多因子策略☆75Updated 7 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆18Updated 10 months ago
- 多因子策略回测框架☆32Updated 5 years ago
- stock☆84Updated 3 years ago
- Performance analysis of predictive (alpha) stock factors☆29Updated 3 years ago