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support optimization based strategy #754
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you-n-g
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Dec 20, 2021
date = price_all.index[i] | ||
ref_date = price_all.index[i - T + 1] | ||
|
||
print(date) |
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Discussions about the data preparation
Co-authored-by: you-n-g <[email protected]>
Co-authored-by: you-n-g <[email protected]>
Co-authored-by: you-n-g <[email protected]>
you-n-g
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Dec 27, 2021
Co-authored-by: you-n-g <[email protected]>
qianyun210603
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Mar 23, 2023
* support optimization based strategy * fix riskdata not found & update doc * refactor signal_strategy * add portfolio example * Update examples/portfolio/prepare_riskdata.py Co-authored-by: you-n-g <[email protected]> * fix typo Co-authored-by: you-n-g <[email protected]> * fix typo Co-authored-by: you-n-g <[email protected]> * update doc * fix riskmodel doc Co-authored-by: you-n-g <[email protected]> Co-authored-by: you-n-g <[email protected]>
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Support optimization based strategy.
Description
This PR is an initial implementation to close the loop of planning-based portfolio optimization in Qlib workflow. Specifically, we implement the
qlib.contrib.strategy.signal_strategy.EnhancedIndexingStrategy
to support usings building a risk indexing product.Motivation and Context
This PR is a follow-up of #280. Major changes include:
EnhancedIndexingStrategy
under Qlib's new strategy interfaceEnhancedIndexingOptimizer
examples/portfolio
How Has This Been Tested?
This PR has been tested by
qrun examples/portfolio/config_enhanced_indexing.yaml
(need to followexamples/portfolio/README.md
to prepare data first. )Screenshots of Test Results (if appropriate):
Types of changes