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87 lines
2.9 KiB
ReStructuredText
87 lines
2.9 KiB
ReStructuredText
.. _alpha:
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=========================
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Building Formulaic Alphas
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=========================
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.. currentmodule:: qlib
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Introduction
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============
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In quantitative trading practice, designing novel factors that can explain and predict future asset returns are of vital importance to the profitability of a strategy. Such factors are usually called alpha factors, or alphas in short.
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A formulaic alpha, as the name suggests, is a kind of alpha that can be presented as a formula or a mathematical expression.
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Building Formulaic Alphas in ``Qlib``
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=====================================
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In ``Qlib``, users can easily build formulaic alphas.
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Example
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-------
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`MACD`, short for moving average convergence/divergence, is a formulaic alpha used in technical analysis of stock prices. It is designed to reveal changes in the strength, direction, momentum, and duration of a trend in a stock's price.
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`MACD` can be presented as the following formula:
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.. math::
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MACD = 2\times (DIF-DEA)
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.. note::
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`DIF` means Differential value, which is 12-period EMA minus 26-period EMA.
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.. math::
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DIF = \frac{EMA(CLOSE, 12) - EMA(CLOSE, 26)}{CLOSE}
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`DEA` means a 9-period EMA of the DIF.
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.. math::
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DEA = \frac{EMA(DIF, 9)}{CLOSE}
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Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib:
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.. note:: Users need to initialize ``Qlib`` with `qlib.init` first. Please refer to `initialization <../start/initialization.html>`_.
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.. code-block:: python
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>> from qlib.data.dataset.loader import QlibDataLoader
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>> MACD_EXP = '(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close'
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>> fields = [MACD_EXP] # MACD
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>> names = ['MACD']
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>> labels = ['Ref($close, -2)/Ref($close, -1) - 1'] # label
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>> label_names = ['LABEL']
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>> data_loader_config = {
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.. "feature": (fields, names),
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.. "label": (labels, label_names)
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.. }
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>> data_loader = QlibDataLoader(config=data_loader_config)
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>> df = data_loader.load(instruments='csi300', start_time='2010-01-01', end_time='2017-12-31')
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>> print(df)
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feature label
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MACD LABEL
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datetime instrument
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2010-01-04 SH600000 -0.011547 -0.019672
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SH600004 0.002745 -0.014721
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SH600006 0.010133 0.002911
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SH600008 -0.001113 0.009818
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SH600009 0.025878 -0.017758
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... ... ...
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2017-12-29 SZ300124 0.007306 -0.005074
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SZ300136 -0.013492 0.056352
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SZ300144 -0.000966 0.011853
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SZ300251 0.004383 0.021739
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SZ300315 -0.030557 0.012455
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Reference
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=========
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To learn more about ``Data Loader``, please refer to `Data Loader <../component/data.html#data-loader>`_
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To learn more about ``Data API``, please refer to `Data API <../component/data.html>`_
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