Rong Liu 2015-11-30

accomplish week

• check the code of multi-factor
• test the lasso method

• using Cross-validation to find the best alpha : find some coefficient is zero. so decrease the alpha.
• check the factors, it is same class and the meaning？ not doen
• add the quadratic programming to control the profit and risk: find the return is small but Max drawdown decrease quickly.

next week

• make more experiment: different history window ,different period ,different factors number