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IFactor = AI + Multifacor A multifactor model combinded with machine learning algorithm on China A-shares.

Support q_factor(Hou.[2015}]) and FF5(Fama.[2015]) to be continued.

AI model can't run without GPU...

Requirement: Python 3.8.10 sklearn dateutil Alphalens-reloaded Tushare ArcticDB

Result:

  1. Q_factor worked on A-share from 20100101 to 20240424, annual return(without commision) of Long/Short portfolio is about 2.5%, cumulative return is 145%, IC mean is 0.018.

alt text Information Analysis 1D 10D 20D IC Mean 0.007 0.014 0.018 IC Std. 0.050 0.059 0.061 Risk-Adjusted IC 0.135 0.243 0.291 t-stat(IC) 7.921 14.260 17.092 p-value(IC) 0.000 0.000 0.000 IC Skew -0.061 -0.054 0.067 IC Kurtosis 0.553 1.080 0.594

  1. Frankly speaking, the result of q_factor is under expectation, main reason is ROE factor which does not work on A-share, maybe it's suit for US market but not same with A-share, many reasons..

So, I simply replace ROE with PB, result is much better: annual return(without commision) of Long/Short portfolio is about 6.1%, cumulative return is 220%, IC mean is 0.043. alt text Information Analysis 1D 10D 20D IC Mean 0.021 0.034 0.043 IC Std. 0.114 0.135 0.142 Risk-Adjusted IC 0.181 0.250 0.302 t-stat(IC) 10.660 14.669 17.768 p-value(IC) 0.000 0.000 0.000 IC Skew 0.112 0.168 0.162 IC Kurtosis 0.166 -0.462 -0.483

Simulated trading(keep updating) Portpolio name: IFactor Open position on April 22th, 2024 Trade details: alt text alt text alt text alt text alt text alt text alt text alt text alt text alt text alt text alt text alt text alt text

Performance from April 22th, 2024 to May 23th, 2024 alt text

CSI500 fell 0.91% on May 24th, but my fortofolio flatted.

To do:

  1. Find more factors for A-share.
  2. How to run deep learning model with my poor computer?