不懂就学之挑战成为WorldQuant Brain顾问的第4天

Alpha提交的标准条件

1. Sharpe: >1.25
2. Fitness: >1
3. Sub-universe Sharpe: >0.26
4. Self-correlation: <0.7

推荐人Python爬虫代码执行步骤

1. 导入工具包
2. 登录
3. 根据dataset_id，调取平台API获取datafields
4. Alpha factory（一阶Alpha模板，生成Matrix数据之后，开始跑这个)
5. Simulate alphas
6. Select alphas(根据时间取出刚刚simulate的alpha，用于跑二阶模板)
7. Next order improvement - Second Order(二阶模板，对一阶Alpha中性化处理)
8. Simulate second order
9. Get submittable alphas（检查simulatied alphass是否可以submit）

Finding an Alpha idea by momentum and reversal strategy

Momentum

• Following price trend
• To participate in momentum investing, a trader takes a long position in an asset that has shown an upward-trending price, or the trader short-sells a security that has been in a downtrend.
• The basic idea is that once a trend is established, it is more likely to continue in that direction than to move against the trend.

Reversal

• A reversal is a change in the direction of a price trend, which can be a positive or negative change against the prevailing trend.
• On a price chart, reversals undergo a recognizable change in the price structure. A reversal is also referred to as a "trend reversal," a "rally" or a "correction."
   

Time-series VS Cross-sectional

There are two frequently used operator categories: time series and cross sectional.

Time series analysis can be useful to see how a given variable changes over time. Suppose you wanted to analyze a time series of daily closing stock prices for a given stock over a period of one year. You could obtain a list of all the closing prices for the stock from each day for the past year and analyze the time series data with technical analysis tools to know whether the stock’s time series shows any seasonality. This will help you to determine if the stock goes through peaks and troughs at regular times each year.

Alternatively, you can use cross-sectional analysis, where you compare a particular company to its industry peers. Cross-sectional analysis may focus on a single company for head-to-head analysis with its biggest competitors or it may approach it from an industry-wide lens to identify companies with a particular strength. Essentially, cross-sectional analysis shows an investor which company is best given the metrics you care about.

第4天结束了......