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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.

Python 1.43% Jupyter Notebook 98.56% Batchfile 0.01% Shell 0.01%
alphalens multifactor-model python-for-finance quantitative-finance

multifactor's People

Contributors

conquerv0 avatar hankleliu2 avatar polo2444172276 avatar simonzheng2000 avatar user-jiyichen avatar

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multifactor's Issues

Numerous package conflicts arise when installing through the .yml file

Thank you for your kindly sharing.
I was just trying to duplicate your environment through the .yml file provided. I did some manual adjustments (namely removing the specific package information expressed in mixture of letters and number, and remove some unfound packages to pip install). However, Conda errors that 'Package Conflicts Found', and then output numerous conflict details, which terminated automatically before any installation.
For your reference, I was using MacBook Pro with M1 Pro chip, would such conflicts have something to do with my Mac and ARM chip.

Sample error message(only a small part of all):
Package jupyter_client conflicts for:
jupyter_client=7.1.0
ipykernel=6.6.0 -> jupyter_client[version='<8.0']

Package importlib_metadata conflicts for:
ipykernel=6.6.0 -> argcomplete[version='>=1.12.3'] -> importlib_metadata[version='>=0.23,<4|>=0.23,<5']
nbformat=5.1.3 -> jsonschema[version='>=2.4,!=2.5.0'] -> importlib_metadata
jsonschema=4.4.0 -> importlib_resources[version='>=1.4.0'] -> importlib_metadata

Package mock conflicts for:
pytables=3.6.1 -> mock
mock=4.0.2

Package contextlib2 conflicts for:
jsonschema=4.4.0 -> importlib-metadata -> contextlib2
ipykernel=6.6.0 -> importlib-metadata[version='<5'] -> contextlib2

Package unicodedata2 conflicts for:
matplotlib-base=3.5.1 -> fonttools[version='>=4.22.0'] -> unicodedata2[version='>=13.0.0|>=14.0.0']
fonttools=4.28.5 -> unicodedata2[version='>=13.0.0']

Package nose conflicts for:
missingno=0.4.2 -> numpy -> nose
patsy=0.5.2 -> numpy[version='>=1.4.0'] -> nose

Package munkres conflicts for:
fonttools=4.28.5 -> munkres
munkres=1.1.4
matplotlib-base=3.5.1 -> fonttools[version='>=4.22.0'] -> munkres

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