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factor-test's Introduction

factor-test

一个单因子回测框架

已实现功能

1.分组回测、多空净值、及相关指标计算

2.IC、ICIR的计算、IC的t统计量计算

3.相关数据的绘图，输出为pdf文件

使用须知：

1.支持5种调仓频率: 日频'd', 周频'w', 月频'm', 财报公布期(5,9,11月)'f', 每n个交易日n(int)

2.请按index=time,columns=code的形式整理数据

3.通过文件读取ST和退市股票、上市超过一年股票、停复牌股票进行股票池筛选(source: Wind底层数据库)

4.上述文件的index和columns应保持完全一致

factor-test's People

Contributors

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