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RISKIM基金资产配置框架

基于多因子模型预测的动态组合调仓策略

项目说明

  1. 概述

    从回测主引擎backtest.py说起:

    (1.1) 数据模拟

     构建datagate迭代器用于回测模拟,根据配置条件判断回测起止。
    

    (1.2) 账户构建

     account模块包括单账户singleacct和多账户multacct。模拟收益指标、手续费扣除、仓位调整等。
    

    (1.3) 日志系统和配置初始化

    (1.4) 多超参数账户组

     稍后的算法流程中会介绍模型构建。backtest.ini中提供了几组模型构建必备参数(gridsearch超参数),
     我们为每一组交叉参数构建一个模型并绑定一个账户。
    

    (1.5)三种策略

     我们依据macct_dynamic_list中历史最优收益对应的超参数确定macct_dyaction。该超参数确定macct_dyaction
     的模型,并完成调仓。两个基线策略为:macct_oneshot即不做调仓,macct_constant为等市值调仓。
    
  2. 多因子模型

Markdown

...待完成

如有任何问题,联系作者[email protected],该项目仅供交流学习,不得用于商业目的。

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