hongzhanhui Goto Github PK

alpha_auto

Alpha,deap,数字货币

arbitrage-opportunity-monitor

This project is to monitor the arbitrage opportunity of stocks, options and futures every second based on Put-Call parity in Chinese stock market.

automl

Experimental Automl library, which uses genetic algorithm, multiprocessing and hyper-parameter optimization to solve supervised learning problems (classification and regression).

barra

barra-1

Barra Multifactor Model

barra-model

An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.

barra_cne5

Provide risk forecasts by Barra China Equity Model

commodity_risk_parity_strategy

Commodity risk parity strategy

deap-alpha-learner

Alpha mining with DEAP-based genetic programming.

deap-gp-tutorial

A Tutorial for DEAP

dstrading

Digital Signal Trading (John Ehlers indicators)

evolutionaryforest

An open source python library for automated feature engineering based on Genetic Programming

factor_evaluation

A factor evaluation manager, specifically designed for cross-section factor evaluation.

featureselectionga

Feature Selection using Genetic Algorithm (DEAP Framework)

go_ehlers_indicators

A collection of John Ehlers technical analysis indicators / Filters written in pure go, with links to original papers

gplearn_cross_factor

Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus on enabling cross-sectional factor analysis within the package.

gplearn_stock

改进gplearn,主要使用在股票公式挖掘

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

hotel_crawler

Hotel info spider which crawling data from Airbnb and tujia used python scrapy framework

kbt_

高性能、分钟级别回测系统，参照了N个开源回测系统源码，参照了某券商系统源码。模拟Ptrade分钟级别系统。

learning_note

market-neutral-model

A Market Neutral Equity Model based on Barra's model

multifactors

omm

Option Market Maker

option_calculator

parallel-genetic-algorithm

Examples of parallelized genetic algorithms using DEAP

sklearn-genetic-opt

ML hyperparameters tuning and features selection, using evolutionary algorithms.

trading-momentum-transformer

This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).

use-gplearn-to-generate-cta-factor

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。