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update readme

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Alex Wang
2021-04-14 14:40:28 +08:00
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examples/highfreq/README.md
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@@ -25,4 +25,11 @@ The example is given in `workflow.py`, users can run the code as follows.
Run the example by running the following command: Run the example by running the following command:
```bash ```bash
python workflow.py dump_and_load_dataset python workflow.py dump_and_load_dataset
``` ```
## 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 |