etccapital / MultiFactor
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.
☆55Updated 2 years ago
Alternatives and similar repositories for MultiFactor:
Users that are interested in MultiFactor are comparing it to the libraries listed below
- 多因子模型相关☆21Updated 3 years ago
- 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
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆34Updated 5 months ago
- 基于streamlit的因子分析app☆56Updated 11 months ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆63Updated 7 years ago
- Quant Studio Document☆24Updated 3 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆58Updated 4 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…☆60Updated 4 years ago
- High frequency factors based on order and trade data.☆40Updated last year
- alpha投研示例☆63Updated last month
- 改进gplearn,主要使用在股票公式挖掘☆92Updated 4 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- 沪深300指数纯因子组合构建☆49Updated 5 years ago
- Python Data Analysis and Financial Calculation☆63Updated 5 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆16Updated 6 months ago
- Backtrader量化策略研报复现☆27Updated 2 years ago
- 因子构建、单因子测试☆69Updated 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。☆18Updated 11 months ago
- 沪深300指数增强模型☆77Updated 5 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
- Stock factor mining with CNN and GRU.☆48Updated 2 years ago
- 众人的因子回测框架 stock factor test☆25Updated 4 months ago
- 量化研究-多因子模型☆19Updated last year
- 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
- ☆27Updated last year
- It is suitable for beginners☆44Updated 4 years ago
- 获取经典的量化多因子模型数据☆66Updated 3 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆42Updated 5 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆37Updated last year
- 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