# xlib-quant
* 一个简单的量化研究框架，具备基本的数据获取、因子分析、机器学习、回测及结果分析功能。
* 框架具体思路与内容请参考公众号FinHack炼金术《从零开始卷量化(25)-脱离Qlib，手撸一个属于自己的量化投资框架！ 》
* **当且该框架并不稳定**，预计本系列文章全部更新完(预计65篇，5月底前更新完)后会出一个稳定版的分支。
# 公众号
# 框架整体思路
<img width="300" alt="image" src="https://user-images.githubusercontent.com/6196607/162599136-2a8286c8-b205-4f43-a894-61c771356920.png">
# 一把梭代码
import pandas as pd
from xlib import data
from xlib import factors
from xlib import model
from xlib.strategies import Top10Strategy
from xlib import backtest
df=data.get_all_index_data()
bench=data.get_index_data(index="000300",start_date="20200101",end_date="20220330",renew=False)
df=factors.getTA(df)
df['label']=df.groupby('symbol')['close'].shift(10)
df['label']=df['close']/df['label']
df_train,df_valid,df_pred=model.datasplit(df,train_end='2019-01-01',valid_end='2020-01-01')
model.lgbtrain(df_train,df_valid,label='label')
preds=model.lgbpred(df_pred,label='label')
preds['score']=preds['pred']
preds['rank']=preds.groupby('date')['pred'].rank()
preds['signal']=preds.apply(lambda x: 1 if x['rank']<=10 else 0 ,axis=1)
returns=backtest.test(preds,Top10Strategy)
backtest.analysis(returns,bench)
# 结果演示
<img width="600" alt="image" src="https://user-images.githubusercontent.com/6196607/162584205-8bb34525-4ff0-47c2-8b29-5674af881f29.png">
<img width="600" alt="image" src="https://user-images.githubusercontent.com/6196607/162584222-3ff3f10e-5a07-4621-a9c3-c903a0e8b34f.png">
量化交易框架：基本的数据获取、因子分析、机器学习、回测及结果分析功能.zip
版权申诉
99 浏览量
2024-03-24
10:57:47
上传
评论
收藏 28.02MB ZIP 举报
量化交易框架：基本的数据获取、因子分析、机器学习、回测及结果分析功能.zip （302个子文件） 
i_all_000300_20150101_20220330.csv 45.16MB 000858_20150101_20220330.csv 162KB 600030_20150101_20220330.csv 161KB 300033_20150101_20220330.csv 161KB 601166_20150101_20220330.csv 161KB 600436_20150101_20220330.csv 160KB 600036_20150101_20220330.csv 160KB 000568_20150101_20220330.csv 160KB 002594_20150101_20220330.csv 160KB 002460_20150101_20220330.csv 160KB i_000300_20150101_20220330.csv 160KB 600887_20150101_20220330.csv 160KB 000661_20150101_20220330.csv 160KB 600837_20150101_20220330.csv 160KB 600570_20150101_20220330.csv 160KB 000768_20150101_20220330.csv 159KB 600276_20150101_20220330.csv 159KB 601788_20150101_20220330.csv 159KB 002236_20150101_20220330.csv 159KB 300122_20150101_20220330.csv 159KB 002466_20150101_20220330.csv 159KB 600809_20150101_20220330.csv 159KB 600999_20150101_20220330.csv 159KB 002371_20150101_20220330.csv 159KB 603019_20150101_20220330.csv 159KB 601888_20150101_20220330.csv 159KB 601336_20150101_20220330.csv 159KB 603799_20150101_20220330.csv 159KB 600547_20150101_20220330.csv 159KB 000063_20150101_20220330.csv 159KB 002008_20150101_20220330.csv 159KB 002241_20150101_20220330.csv 159KB 002007_20150101_20220330.csv 158KB 002142_20150101_20220330.csv 158KB 300124_20150101_20220330.csv 158KB 002230_20150101_20220330.csv 158KB 600893_20150101_20220330.csv 158KB 000895_20150101_20220330.csv 158KB 000333_20150101_20220330.csv 158KB 002202_20150101_20220330.csv 158KB 002415_20150101_20220330.csv 158KB 300274_20150101_20220330.csv 158KB 300003_20150101_20220330.csv 158KB 000963_20150101_20220330.csv 158KB 300408_20150101_20220330.csv 158KB 600588_20150101_20220330.csv 158KB 002736_20150101_20220330.csv 158KB 600048_20150101_20220330.csv 158KB 300347_20150101_20220330.csv 158KB 600741_20150101_20220330.csv 157KB 600109_20150101_20220330.csv 157KB 603369_20150101_20220330.csv 157KB 002024_20150101_20220330.csv 157KB 601799_20150101_20220330.csv 157KB 600332_20150101_20220330.csv 157KB 300059_20150101_20220330.csv 157KB 601211_20150101_20220330.csv 157KB 600352_20150101_20220330.csv 157KB 000002_20150101_20220330.csv 157KB 002410_20150101_20220330.csv 157KB 300144_20150101_20220330.csv 157KB 601012_20150101_20220330.csv 157KB 002709_20150101_20220330.csv 157KB 300014_20150101_20220330.csv 157KB 600031_20150101_20220330.csv 157KB 603806_20150101_20220330.csv 157KB 601231_20150101_20220330.csv 156KB 601088_20150101_20220330.csv 156KB 300433_20150101_20220330.csv 156KB 600406_20150101_20220330.csv 156KB 600958_20150101_20220330.csv 156KB 601238_20150101_20220330.csv 156KB 002032_20150101_20220330.csv 156KB 600150_20150101_20220330.csv 156KB 002475_20150101_20220330.csv 156KB 600872_20150101_20220330.csv 156KB 002049_20150101_20220330.csv 156KB 601021_20150101_20220330.csv 156KB 600845_20150101_20220330.csv 156KB 000651_20150101_20220330.csv 156KB 600760_20150101_20220330.csv 156KB 603899_20150101_20220330.csv 156KB 000725_20150101_20220330.csv 156KB 600426_20150101_20220330.csv 156KB 600584_20150101_20220330.csv 156KB 600383_20150101_20220330.csv 156KB 300015_20150101_20220330.csv 155KB 600763_20150101_20220330.csv 155KB 002714_20150101_20220330.csv 155KB 603338_20150101_20220330.csv 155KB 000938_20150101_20220330.csv 155KB 601360_20150101_20220330.csv 155KB 600161_20150101_20220330.csv 155KB 601633_20150101_20220330.csv 155KB 002120_20150101_20220330.csv 155KB 002568_20150101_20220330.csv 155KB 002459_20150101_20220330.csv 155KB 601899_20150101_20220330.csv 155KB 002601_20150101_20220330.csv 155KB 601318_20150101_20220330.csv 155KB共 302 条
- 1
- 2
- 3
- 4
资源评论
