han14466 / gplearn_stock_dataframe
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。
☆16Updated 8 months ago
Related projects ⓘ
Alternatives and complementary repositories for gplearn_stock_dataframe
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆29Updated 2 months ago
- 量化研究-多因子模型☆18Updated last year
- 多因子模型相关☆21Updated 3 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆12Updated last year
- 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☆26Updated 2 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☆54Updated 9 months ago
- 基于基因表达式规划算法的因子挖掘☆25Updated 3 years ago
- ☆15Updated 3 years ago
- An end-to-end stock factors mining neural network framework.☆23Updated last year
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆55Updated 2 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆15Updated last year
- 改进gplearn,主要使用在股票公式挖掘☆90Updated 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…☆57Updated 3 years ago
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆11Updated 2 months ago
- Stock factor mining with CNN and GRU.☆41Updated last year
- 一些研报的复现☆11Updated 6 years ago
- Quant_Strategy☆24Updated last year
- my first factor-stock-selecting backtest function☆18Updated 4 years ago
- Backtest Framework designed by YuminQuant&Yumin.☆11Updated 3 months ago
- 多因子选股框架☆21Updated 3 years ago
- 基于华泰研报对原alpha101代码进行简化和拓展☆42Updated 4 years ago
- Quant Studio Document☆22Updated 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☆40Updated 2 years ago
- 沪深300指数纯因子组合构建☆48Updated 5 years ago
- 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☆18Updated last year
- Backtrader量化策略研报复现☆25Updated 2 years ago
- 基于streamlit的因子分析app☆51Updated 9 months ago
- A new formulaic alpha mining framework for quantitative investment☆80Updated 2 months 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。☆102Updated 10 months ago
- 通过遗传算法、强化学习来自动选择高频因子☆24Updated last year