liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-13 07:46:53 +08:00
Code Activity

refine docs

Browse Source
This commit is contained in:
Young
2020-11-30 04:21:33 +00:00
committed by you-n-g
parent 4caddb24ad
commit 1877ad8c39
8 changed files with 47 additions and 44 deletions
Download Patch File Download Diff File Expand all files Collapse all files

23
docs/component/strategy.rst
View File

@@ -1,18 +1,18 @@
.. _strategy:
========================================
Interday Strategy: Portfolio Management
Portfolio Strategy: Portfolio Management
========================================
.. currentmodule:: qlib
Introduction
===================
``Interday Strategy`` is designed to adopt different trading strategies, which means that users can adopt different algorithms to generate investment portfolios based on the prediction scores of the ``Interday Model``. Users can use the ``Interday Strategy`` in an automatic workflow by ``Estimator``, please refer to `Estimator: Workflow Management <estimator.html>`_.
``Portfolio Strategy`` is designed to adopt different portfolio strategies, which means that users can adopt different algorithms to generate investment portfolios based on the prediction scores of the ``Forecast Model``. Users can use the ``Portfolio Strategy`` in an automatic workflow by ``Workflow`` module, please refer to `Workflow: Workflow Management <workflow.html>`_.
Because the components in ``Qlib`` are designed in a loosely-coupled way, ``Interday Strategy`` can be used as an independent module also.
Because the components in ``Qlib`` are designed in a loosely-coupled way, ``Portfolio Strategy`` can be used as an independent module also.
``Qlib`` provides several implemented trading strategies. Also, ``Qlib`` supports custom strategy, users can customize strategies according to their own needs.
``Qlib`` provides several implemented portfolio strategies. Also, ``Qlib`` supports custom strategy, users can customize strategies according to their own needs.
Base Class & Interface
======================
@@ -26,19 +26,20 @@ Qlib provides a base class ``qlib.contrib.strategy.BaseStrategy``. All strategy
Return the proportion of your total value you will use in investment. Dynamically risk_degree will result in Market timing.
- `generate_order_list`
Rerturn the order list.
Return the order list.
Users can inherit `BaseStrategy` to customize their strategy class.
WeightStrategyBase
--------------------
Qlib alse provides a class ``qlib.contrib.strategy.WeightStrategyBase`` that is a subclass of `BaseStrategy`.
Qlib also provides a class ``qlib.contrib.strategy.WeightStrategyBase`` that is a subclass of `BaseStrategy`.
`WeightStrategyBase` only focuses on the target positions, and automatically generates an order list based on positions. It provides the `generate_target_weight_position` interface.
- `generate_target_weight_position`
- According to the current position and trading date to generate the target position. The cash is not considered.
- According to the current position and trading date to generate the target position. The cash is not considered in
the output weight distribution.
- Return the target position.
.. note::
@@ -81,7 +82,7 @@ TopkDropoutStrategy
Usage & Example
====================
``Interday Strategy`` can be specified in the ``Intraday Trading(Backtest)``, the example is as follows.
``Portfolio Strategy`` can be specified in the ``Intraday Trading(Backtest)``, the example is as follows.
.. code-block:: python
@@ -110,12 +111,12 @@ Usage & Example
pred_score, strategy=strategy, **BACKTEST_CONFIG
)
Also, the above example has been given in ``examples\train_backtest_analyze.ipynb``.
Also, the above example has been given in ``examples/train_backtest_analyze.ipynb``.
To know more about the `prediction score` `pred_score` output by ``Interday Model``, please refer to `Interday Model: Model Training & Prediction <model.html>`_.
To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.
To know more about ``Intraday Trading``, please refer to `Intraday Trading: Model&Strategy Testing <backtest.html>`_.
Reference
===================
To know more about ``Interday Strategy``, please refer to `Strategy API <../reference/api.html#module-qlib.contrib.strategy.strategy>`_.
To know more about ``Portfolio Strategy``, please refer to `Strategy API <../reference/api.html#module-qlib.contrib.strategy.strategy>`_.