liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-07 21:11:50 +08:00
Code Activity

Merge pull request #650 from microsoft/backtest_improve

Browse Source 
Improve the backtest design and APIs
This commit is contained in:
you-n-g
2021-11-08 09:10:33 +08:00
committed by GitHub
parent b18132dce1 3fa48d7017
commit 7800dd4ec9
65 changed files with 947 additions and 286 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
examples/benchmarks/README.md
View File

@@ -13,6 +13,10 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
>
> In the new version of qlib, the default dataset is **v2**. Since the data is collected from the YahooFinance API (which is not very stable), the results of *v2* and *v1* may differ -->
> NOTE:
> The backtest start from 0.8.0 is quite different from previous version. Please check out the changelog for the difference.
## Alpha158 dataset
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |