(Alphas): def __init__(self, df_data): self.open = df_data['open'] # 开盘价 self.high = df_data['high'] # 最高价 self.low = df_data['low'] # 最低价 self.close = df_data['close'] # 收盘价 self.volume = df_data['volume'] # 成交量 self.returns = returns(df_data[...
该Repository下每个文件下是对World Quant 101 alphas中的一个的复制,其中WQ_Alphas_Analysis.py是计算各个因子的代码,以及对因子进行分组分析的代码,而类似#041文件下下的alpha#41.py是第41号因子策略化的代码,回测系统使用的是量子金服云宽客策略平台。
# We refer to https://github.com/yli188/WorldQuant_alpha101_code regarding the implementation of this module. # We modify implementation of some functions, such as rank, alpha1, etc. # DolphinDB Inc. # @Author: DolphinDB # @Last modification time: 2022.09.01 # @FileName: alpha101_ad...
2. 101公式化因子 %%timecorr_formula=factors[alphas].sort_index().corr(method='spearman').dropna...
这里我以tushare作为数据源,构建单因子回测框架;同时以WorldQuant LLC的Alpha 101因子为例,展示如何快速基于数学表达式,构建出相应的python表达式,并回测计算相应的量化指标。 1 worldquant alpha 101 101 Alpha因子出自于WorldQuant LLC发表的论文 101 Formulaic Alphas,这些因子在美股都是较为有效的因子。这些因子其实并不...
alphas_cumprod = noise_scheduler.alphas_cumprod sqrt_alphas_cumprod = alphas_cumprod**0.5 sqrt_one_minus_alphas_cumprod = (1.0 - alphas_cumprod) ** 0.5 # Expand the tensors. # Adapted from https://github.com/TiankaiHang/Min-SNR-Diffusion-Training/blob/ # 521b624bd70c67cee4bdf49225915f59...
int alphas[36], betas[36]; int8_t tcs[36][4]; int a, c, i, j;x264_deblock_init( 0, &db_c ); x264_deblock_init( cpu_ref, &db_ref ); x264_deblock_init( cpu_new, &db_a );/* not exactly the real values of a,b,tc but close enough */ ...
alphas_cumprod sqrt_alphas_cumprod = alphas_cumprod**0.5 sqrt_one_minus_alphas_cumprod = (1.0 - alphas_cumprod) ** 0.5 # Expand the tensors. # Adapted from https://github.com/TiankaiHang/Min-SNR-Diffusion-Training/blob/ # 521b624bd70c67cee4bdf49225915f5945a872e3/guided_diffusion/...