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.

语言：Jupyter Notebook · GitHub 星标：84 · Fork：29

话题：alphalens · multifactor-model · python-for-finance · quantitative-finance

在 GitHub 上查看原仓库