majiajue / Quantitative-Trading-Strategy-Based-on-Machine-Learning
Firstly, multiple effective factors are discovered through IC value, IR value, and correlation analysis and back-testing. Then, XGBoost classification model is adopted to predict whether the stock is profitable in the next month, and the positions are adjusted monthly. The idea of mean-variance analysis is adopted for risk control, and the volat…
☆19Updated 4 years ago
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