X0Leon
commented
7 years ago Alpha策略的完整流程：（摘自Quantopian）
Universe Selection: define the universe of tradeable components; the universe should be broad but have some degree of self similarity to enable extraction of relative value. It should also eliminate hard to trade or prohibited instruments. Single Alpha Factor Modeling: define and evaluate individual expressions which rank the cross section of equities in your universe. Alpha Combination: combine many single alphas into a final alpha which has stronger prediction power than the best single alpha. This is often due to the noise in each alpha being canceled out by noise in other alphas, allowing signal to come through. Risk Model: define and calculate the set of risk factors you want to use to constrain your portfolio. Portfolio Construction: implement a process which takes your final combined alpha and your risk model and produces a target portfolio that minimizes risk under your model. Execution: implement a trading process to transition the current portfolio (if any) to the target portfolio.
这里可以做的是哪一步，关于数据的收集、再处理和股票池的选择我已经放入qdata项目中去了，可以解决Step 1的部分。
Step 2有相关的项目alphalens可供参考和使用。
各种形式的选股（多因子回归、打分，机器学习等）需要很好的支持，不需要都放入XQuant库中，可以开发无缝连接的支撑库。 目标：version 0.6.0实现初步支持。