Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial engineering report. Steps include factor data collection and preprocessing, factor combination, portfolio optimization and risk return analysis.
☆72Oct 11, 2022Updated 3 years ago
Alternatives and similar repositories for MultiFactor
Users that are interested in MultiFactor are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- 多因子选股框架☆26Dec 9, 2020Updated 5 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- my first factor-stock-selecting backtest function☆22Aug 15, 2020Updated 5 years ago
- High frequency factors based on order and trade data.☆72Dec 16, 2023Updated 2 years ago
- BackTrader多因子回测框架 （Multi-factors backtesting framework for BackTrader）☆124Nov 30, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 2 years ago
- 因子回测框架☆144Jul 9, 2023Updated 2 years ago
- Apply machine learning algorithms in the financial market. Ensemble Model, including XGBoost, LightGBM, CNN, ResNet and LSTM.☆10Jun 5, 2022Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- 致力于多因子，AI策略，可盈利模型的研究☆12Apr 14, 2023Updated 2 years ago
- Code for paper "Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions"☆17Jan 13, 2022Updated 4 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆13Jul 19, 2018Updated 7 years ago
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆18Mar 10, 2023Updated 3 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆14Apr 4, 2026Updated last week
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Alpha研究平台☆21Sep 6, 2021Updated 4 years ago
- Barra Multifactor Model☆160Mar 18, 2020Updated 6 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- 基于聚宽平台，探索分钟级的高频交易☆35Jun 18, 2020Updated 5 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- ☆15Aug 21, 2021Updated 4 years ago
- 沪深300指数增强模型☆90Sep 3, 2019Updated 6 years ago
- Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a …☆15Apr 23, 2024Updated last year
- OCET, torch, transformers, DeepLOB,limit-order-books☆10Dec 6, 2022Updated 3 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- 量化FOF框架☆13Mar 8, 2019Updated 7 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- verify OrderBook Tick Data Trading Strategy on futures.☆17Mar 21, 2019Updated 7 years ago
- Develop about 200 alpha factors from securities report etc, Grid Search/Random Search/Particle Swarm Optimization to improve factors perf…☆23Jul 29, 2018Updated 7 years ago
- ☆20Feb 17, 2021Updated 5 years ago
- Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"☆10Mar 4, 2024Updated 2 years ago
- ☆12Jul 19, 2020Updated 5 years ago
- Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.☆11Sep 18, 2022Updated 3 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。☆23Mar 20, 2024Updated 2 years ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆17Dec 17, 2022Updated 3 years ago
- 数据转存工具☆20Mar 18, 2026Updated 3 weeks ago
- ☆151Apr 3, 2026Updated last week
- jaqs-fxdayu:股票多因子策略研究和分析框架jaqs拓展包☆125May 8, 2019Updated 6 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆117May 20, 2024Updated last year
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆26Mar 10, 2018Updated 8 years ago
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 5 years ago