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* support optimization based strategy * fix riskdata not found & update doc * refactor signal_strategy * add portfolio example * Update examples/portfolio/prepare_riskdata.py Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix typo Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix typo Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * update doc * fix riskmodel doc Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
47 lines
1.5 KiB
Markdown
47 lines
1.5 KiB
Markdown
# Portfolio Optimization Strategy
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## Introduction
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In `qlib/examples/benchmarks` we have various **alpha** models that predict
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the stock returns. We also use a simple rule based `TopkDropoutStrategy` to
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evaluate the investing performance of these models. However, such a strategy
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is too simple to control the portfolio risk like correlation and volatility.
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To this end, an optimization based strategy should be used to for the
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trade-off between return and risk. In this doc, we will show how to use
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`EnhancedIndexingStrategy` to maximize portfolio return while minimizing
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tracking error relative to a benchmark.
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## Preparation
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We use China stock market data for our example.
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1. Prepare CSI300 weight:
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```bash
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wget http://fintech.msra.cn/stock_data/downloads/csi300_weight.zip
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unzip -d ~/.qlib/qlib_data/cn_data csi300_weight.zip
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rm -f csi300_weight.zip
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```
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2. Prepare risk model data:
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```bash
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python prepare_riskdata.py
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```
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Here we use a **Statistical Risk Model** implemented in `qlib.model.riskmodel`.
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However users are strongly recommended to use other risk models for better quality:
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* **Fundamental Risk Model** like MSCI BARRA
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* [Deep Risk Model](https://arxiv.org/abs/2107.05201)
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## End-to-End Workflow
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You can finish workflow with `EnhancedIndexingStrategy` by running
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`qrun config_enhanced_indexing.yaml`.
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In this config, we mainly changed the strategy section compared to
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`qlib/examples/benchmarks/workflow_config_lightgbm_Alpha158.yaml`.
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