Alpha Factor Evaluation

Lawson · February 6, 2022, 2:29am

In the factor correlation in the following notebook, it doesn’t look like the factors are correlated to the close price. It would be helpful when evaluating if the close price was included.

github.com

PacktPublishing/Machine-Learning-for-Algorithmic-Trading-Second-Edition/blob/master/24_alpha_factor_library/04_factor_evaluation.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "\n",
    "# Alpha Factor Evaluation"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-04-16T17:19:41.345182Z",
     "start_time": "2021-04-16T17:19:41.339996Z"
    }
   },
   "outputs": [],

This file has been truncated. show original