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.

Date Created 2021-10-24 (3 years ago)

Commits 90 (last one 2 years ago)

Stargazers 55 (0 this week)

Watchers 1 (0 this week)

Forks 21

License unknown

Ranking

RepositoryStats indexes 584,777 repositories, of these etccapital/MultiFactor is ranked #434,619 (26th percentile) for total stargazers, and #536,275 for total watchers. Github reports the primary language for this repository as Jupyter Notebook, for repositories using this language it is ranked #11,243/17,124.

etccapital/MultiFactor is also tagged with popular topics, for these it's ranked: quantitative-finance (#174/198)

Other Information

etccapital/MultiFactor has Github issues enabled, there are 2 open issues and 0 closed issues.

All Topics

alphalens multifactor-model python-for-finance quantitative-finance

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80 commits on the default branch (main) since jan '22

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updated: 2024-11-21 @ 06:09pm, id: 420791041 / R_kgDOGRTDAQ