support optimization based strategy #754
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| date = price_all.index[i] | ||
| ref_date = price_all.index[i - T + 1] | ||
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| print(date) |
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* support optimization based strategy * fix riskdata not found & update doc * refactor signal_strategy * add portfolio example * Update examples/portfolio/prepare_riskdata.py Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix typo Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * fix typo Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> * update doc * fix riskmodel doc Co-authored-by: you-n-g <you-n-g@users.noreply.github.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
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Support optimization based strategy.
Description
This PR is an initial implementation to close the loop of planning-based portfolio optimization in Qlib workflow. Specifically, we implement the
qlib.contrib.strategy.signal_strategy.EnhancedIndexingStrategyto support usings building a risk indexing product.Motivation and Context
This PR is a follow-up of #280. Major changes include:
EnhancedIndexingStrategyunder Qlib's new strategy interfaceEnhancedIndexingOptimizerexamples/portfolioHow Has This Been Tested?
This PR has been tested by
qrun examples/portfolio/config_enhanced_indexing.yaml(need to followexamples/portfolio/README.mdto prepare data first. )Screenshots of Test Results (if appropriate):
Types of changes