Rong Liu 2015-11-30
来自cslt Wiki
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
