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View Code? Open in Web Editor NEWusing machine learning algorithm to select stocks
using machine learning algorithm to select stocks
1 提取特征 将open 与 close取均值 向后滞后N期算收益率
2 取3个月的数据进行训练,一个月的数据进行预测
3 设置一个阈值alph,预测的收益率 >= alph 保存,否侧丢掉
1 season data 处理完得到 stock code 和 return
2 根据 stock code 将 return添加到 该stock对应的交易日历史数据中,并作为label
3 用SVR , LR 训练第一季度的数据
4 预测第二季度的return
1 添加基本面数据
2 实现添加因子的函数
3 跑完模型之后将抽取code 返回 top 10
1 feature table
2 extract the features that you need
3 train/label
4 predict
5 calculate_loss
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