Alpha Research with AI

Project Description

Please refer to the medium post:

• How to Build Quant Algorithmic Trading Model in Python
• How to generate an AI Alpha Factor in Python

File Description

Alpha Research Base.ipynb

Jupyter notebook to execute alpha research process without Machine Learning. Functions are defined in myalpha package.

Alpha Research AI.ipynb

Add Machine Learning to generate Alpha vector on top of the base process.

myalpha package

This include the following modules used in the notebook for basic alpha research

datautil.py

Utility functions to handle input data

riskmodel.py

Statistical (PCA) based risk model functions

alphas.py

Defines Alpha Factors

mlutil.py

Classes and functions for Machine Learning process to create AI Alpha

performance.py

Performance measurement and visualization functions using alphalens

optimization.py

Optimization classes to calculate optimal holding based on the constraints