Rong Liu 2015-11-23
来自cslt Wiki
accomplish week
- multi-factors model
- code the data api in our server for tonglian server is too slow
- test the lasso method. the standardize method is not useful
- test the different factors(10,50,133) and different history(30,60,100). not useful
- add the Kelly Formula to control the cash, not useful
next week
- check the code of multi-factor
- test the lasso method
- using Cross-validation to find the best alpha
- check the factors, it is same class and the meaning？
- add the quadratic programming to control the profit and risk
