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Merge branch 'main' of github.com:you-n-g/qlib into main

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2020-11-26 12:42:03 +00:00
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@@ -9,7 +9,7 @@
<p align="center">
<img src="http://fintech.msra.cn/images/logo/1.png" />
<img src="http://fintech.msra.cn/images_v060/logo/1.png" />
</p>
@@ -39,7 +39,7 @@ For more details, please refer to our paper ["Qlib: An AI-oriented Quantitative
# Framework of Qlib
<div style="align: center">
<img src="http://fintech.msra.cn/images/framework.png" />
<img src="http://fintech.msra.cn/images_v060/framework.png" />
</div>
@@ -137,17 +137,20 @@ Qlib provides a tool named `qrun` to run the whole workflow automatically (inclu
```bash
risk
excess_return_without_cost mean 0.000675
std 0.005456
annualized_return 0.170077
information_ratio 1.963824
max_drawdown -0.063646
excess_return_with_cost mean 0.000479
std 0.005453
annualized_return 0.120776
information_ratio 1.395116
max_drawdown -0.071216
'The following are analysis results of the excess return without cost.'
risk
mean 0.000708
std 0.005626
annualized_return 0.178316
information_ratio 1.996555
max_drawdown -0.081806
'The following are analysis results of the excess return with cost.'
risk
mean 0.000512
std 0.005626
annualized_return 0.128982
information_ratio 1.444287
max_drawdown -0.091078
@@ -157,19 +160,19 @@ Qlib provides a tool named `qrun` to run the whole workflow automatically (inclu
2. Graphical Reports Analysis: Run `examples/workflow_by_code.ipynb` with `jupyter notebook` to get graphical reports
- Forecasting signal (model prediction) analysis
- Cumulative Return of groups
![Cumulative Return](http://fintech.msra.cn/images/analysis/analysis_model_cumulative_return.png?v=0.1)
![Cumulative Return](http://fintech.msra.cn/images_v060/analysis/analysis_model_cumulative_return.png?v=0.1)
- Return distribution
![long_short](http://fintech.msra.cn/images/analysis/analysis_model_long_short.png?v=0.1)
![long_short](http://fintech.msra.cn/images_v060/analysis/analysis_model_long_short.png?v=0.1)
- Information Coefficient (IC)
![Information Coefficient](http://fintech.msra.cn/images/analysis/analysis_model_IC.png?v=0.1)
![Monthly IC](http://fintech.msra.cn/images/analysis/analysis_model_monthly_IC.png?v=0.1)
![IC](http://fintech.msra.cn/images/analysis/analysis_model_NDQ.png?v=0.1)
![Information Coefficient](http://fintech.msra.cn/images_v060/analysis/analysis_model_IC.png?v=0.1)
![Monthly IC](http://fintech.msra.cn/images_v060/analysis/analysis_model_monthly_IC.png?v=0.1)
![IC](http://fintech.msra.cn/images_v060/analysis/analysis_model_NDQ.png?v=0.1)
- Auto Correlation of forecasting signal (model prediction)
![Auto Correlation](http://fintech.msra.cn/images/analysis/analysis_model_auto_correlation.png?v=0.1)
![Auto Correlation](http://fintech.msra.cn/images_v060/analysis/analysis_model_auto_correlation.png?v=0.1)
- Portfolio analysis
- Backtest return
![Report](http://fintech.msra.cn/images/analysis/report.png?v=0.1)
![Report](http://fintech.msra.cn/images_v060/analysis/report.png?v=0.1)
<!--
- Score IC
![Score IC](docs/_static/img/score_ic.png)