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Fix high-freq data (#702)

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* fix the collector.py yahoo 1min factor calculation

* fix HFSignalRecord
This commit is contained in:
Pengrong Zhu
2021-11-20 15:03:53 +08:00
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parent 9265b66e09
commit d224ea447e
6 changed files with 112 additions and 22 deletions
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examples/highfreq/README.md
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@@ -30,6 +30,7 @@ Run the example by running the following command:
## Benchmarks Performance
### Signal Test
Here are the results of signal test for benchmark models. We will keep updating benchmark models in future.
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe |
|---|---|---|---|---|---|---|---|---|---|
| LightGBM | Alpha158 | 0.3042±0.00 | 1.5372±0.00| 0.3117±0.00 | 1.6258±0.00 | 0.6720±0.00 | 0.6870±0.00 | 0.000769±0.00 | 1.0190±0.00 |
| LightGBM | Alpha158 | 0.0349±0.00 | 0.3805±0.00| 0.0435±0.00 | 0.4724±0.00 | 0.5111±0.00 | 0.5428±0.00 | 0.000074±0.00 | 0.2677±0.00 |