“Rong Liu 2015-11-30”版本间的差异
来自cslt Wiki
（以“==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 dec...”为内容创建页面） |
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:* add the quadratic programming to control the profit and risk: find the return is small but Max drawdown decrease quickly. | :* add the quadratic programming to control the profit and risk: find the return is small but Max drawdown decrease quickly. | ||
==next week== | ==next week== | ||
| + | * make more experiment: different history window ,different period ,different factors number | ||
* | * | ||
2015年12月1日 (二) 01:38的最后版本
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
