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GitHub / etccapital / MultiFactor
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.
JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/etccapital%2FMultiFactor
Stars: 19
Forks: 9
Open Issues: 2
License: None
Language: Jupyter Notebook
Repo Size: 9.05 MB
Dependencies:
116
Created: over 2 years ago
Updated: about 1 year ago
Last pushed: over 1 year ago
Last synced: about 1 year ago
Topics: alphalens, multifactor-model, python-for-finance, quantitative-finance
Files
Dependencies
- alphalens 0.3.6
- attrs 21.4.0
- backcall 0.2.0
- backports 1.0
- backports.functools_lru_cache 1.6.4
- blas 1.0
- blosc 1.20.1
- bottleneck 1.3.2
- brotli-bin 1.0.9
- bzip2 1.0.8
- ca-certificates 2021.10.8
- certifi 2021.10.8
- colorama 0.4.4
- cycler 0.11.0
- debugpy 1.5.1
- decorator 5.1.0
- dill 0.3.4
- entrypoints 0.3
- fonttools 4.28.5
- freetype 2.10.4
- hdf5 1.10.6
- icc_rt 2019.0.0
- importlib-metadata 4.10.1
- importlib_resources 5.4.0
- intel-openmp 2021.4.0
- ipykernel 6.6.0
- ipython 7.30.1
- ipython_genutils 0.2.0
- jbig 2.1
- jedi 0.18.1
- jpeg 9d
- jsonschema 4.4.0
- jupyter_client 7.1.0
- jupyter_core 4.9.1
- jupytext 1.13.6
- kiwisolver 1.3.2
- lcms2 2.12
- lerc 3.0
- libbrotlicommon 1.0.9
- libbrotlidec 1.0.9
- libbrotlienc 1.0.9
- libdeflate 1.8
- libpng 1.6.37
- libsodium 1.0.18
- libtiff 4.2.0
- libwebp 1.1.0
- libzlib 1.2.11
- lz4-c 1.9.3
- lzo 2.10
- markdown-it-py 1.1.0
- matplotlib-base 3.5.1
- matplotlib-inline 0.1.3
- mdit-py-plugins 0.3.0
- missingno 0.4.2
- mkl 2021.4.0
- mkl-service 2.4.0
- mkl_fft 1.3.1
- mkl_random 1.2.2
- mock 4.0.2
- multiprocess 0.70.12.2
- munkres 1.1.4
- nbformat 5.1.3
- nest-asyncio 1.5.4
- numexpr 2.8.1
- numpy 1.21.2
- numpy-base 1.21.2
- olefile 0.46
- openjpeg 2.4.0
- openssl 1.1.1l
- packaging 21.3
- pandas 1.3.4
- parso 0.8.3
- pathos 0.2.8
- patsy 0.5.2
- pickleshare 0.7.5
- pillow 8.4.0
- pip 21.2.4
- pox 0.3.0
- ppft 1.6.6.4
- prompt-toolkit 3.0.24
- pygments 2.10.0
- pyparsing 3.0.4
- pyrsistent 0.18.1
- pytables 3.6.1
- python 3.9.7
- python-dateutil 2.8.2
- python_abi 3.9
- pytz 2021.3
- pywin32 303
- pyyaml 6.0
- pyzmq 22.3.0
- scipy 1.7.1
- seaborn 0.11.2
- seaborn-base 0.11.2
- setuptools 58.0.4
- six 1.16.0
- sqlite 3.37.0
- statsmodels 0.13.0
- tk 8.6.11
- toml 0.10.2
- tornado 6.1
- tqdm 4.62.3
- traitlets 5.1.1
- typing_extensions 4.0.1
- tzdata 2021e
- vc 14.2
- vs2015_runtime 14.27.29016
- wcwidth 0.2.5
- wheel 0.37.0
- wincertstore 0.2
- xz 5.2.5
- yaml 0.2.5
- zeromq 4.3.4
- zipp 3.7.0
- zlib 1.2.11
- zstd 1.4.5