A multi-factor framework in quantitative investing, including 15 factors, and generating a simple backtesting report.
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Code_MultiFactor
- Within this folder are two identical sets of code files – one in Jupyter Notebook format and the other as a Python script. It is recommended to use Jupyter Notebook and PyCharm to open them, respectively.
- The code requires a few Python libraries for normal execution: numpy, pandas, and sklearn. Please ensure that you have them installed beforehand.
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Data
- The primary dataset involved is not available for public sharing. If needed, please feel free to contact the author.
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Reference
- This folder contains reference materials and websites that were consulted during the completion of the assignment.
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Result
- This section comprises the complete experimental results.