Quantflow Deep-learning Quant Framework

A Light-weight Deep-learning Quant Framework


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Table of Contents

1. About The Project
2. Getting Started
   • Prerequisites
   • Installation
   • Usage

About The Project

Homemade light-weight quant framework. Support Sliding windows, hyper-parameter search, backtesting, Reversing Trade and etc. See LSTM stock price prediction demo

自制量化框架。支持滑窗, 超参数搜索, 反向对冲, 回测等。查看基于Quantflow-deep-learning-quant-framework的 LSTM 股票预测 Demo。

Features:

• Model
  • LSTM
  • Seq2seq
  • Resnet50-1D
• Prediction
  • Signal Classification (Buy, Sell, Hold) 信号分类
  • Regression (avg price in next window) 回归
• Backtesting Metrics 回调指标
  • Sharpe 夏普
  • Maximum Drawdown 最大回撤
  • Alpha (regression/annualized) (回归法/年化)
  • Beta (regression/annualized) (回归法/年化)
  • Interval rate of return 平均区间收益率
  • Annualized rate of return (baseline/stretegy) 年化收益率 (基准/策略)
  • backtesting rate of return 策略回测收益率
• others
  • Reversing Trade Support 反向对冲回调策略
  • Sliding Window 滑窗生成器
  • focal_loss
  • class_weighed_sampling 分类权重采样 (抑制类别不均衡)

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Built With

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Getting Started

Prerequisites

1. Clone repo.

git clone https://github.com/dr413677671/Quantflow-deep-learning-quant-framework.git

1. Install dependencies.

pip install <repo-directory>/requirements.txt

Usage

See LSTM stock price prediction demo

Contact

     

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Acknowledgments

Based on these brilliant repos:

• Seq2seq
• LSTM
• Logo genetrared by Stable-Diffusion

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