popbo / alphas Goto Github PK
View Code? Open in Web Editor NEWalpha101, alpha191, alphalens, backtrader, 量化研究
alpha101, alpha191, alphalens, backtrader, 量化研究
我数学不太好,但是不是有很多因子的计算是从给定的起始日期开始滚动计算的?比如计算2020-06-01的因子值,按alphas.py的默认截取日期是从2019-01-01开始滚动计算,如果我改成从2019-06-01开始计算,是不是因子的值就有变化了?甚至起始时间可以无限往前延伸,只要有数据?
我打算发布一个部分使用了你代码的github项目。请问你希望我以何种方式对你的工作进行引用?谢谢!
你好,我想问一下因子计算和分析的过程中是否需要过滤掉ST股票和涨跌停股票
after following guide, download data, calculate alpha101, run research(don't change code), get error:
Dropped 48.2% entries from factor data: 48.2% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions).
我想用后复权数据训练模型,但是你用的Akshare接口下载的东财数据,其中成交额是按不复权股价计算的,所以因子计算中平均成交价也是不复权的,即使开收高低都是后复权。由于东财的后复权算法是闭源的,我无法将成交额从不复权修正成后复权,这应该会影响因子模型。我尝试了Akshare的新浪端口,新浪的复权算法是开源的(算法与东财不同),但新浪端口历史数据不含成交额,所以平均成交价直接求不出来了。请问您有什么建议吗?谢谢!
hello作者你好,这里面的因子大量的使用了rank没有带天数的函数,如果一次性计算是否用了未来函数?
难道每天更新吗?还是说我计算方式有问题
alphalens.utils - > get_clean_factor_and_forward_returns -> compute_forward_returns 的 mode(days_diffs).mode[0]一直报错。
检查了很多遍输入的数据格式factor和price都是复合规范的,不知道问题出在哪。
请问作者你这边遇到过类似的情况么?
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