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https://github.com/dr413677671/quantflow-deep-learning-quant-framework

A Light-weight Deep-learning Quant Framework
https://github.com/dr413677671/quantflow-deep-learning-quant-framework

deep-learning keras matplotlib quantitative-finance scikit-learn seaborn signal-analysis signal-processing tensorflow

Last synced: 24 days ago
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A Light-weight Deep-learning Quant Framework

Host: GitHub
URL: https://github.com/dr413677671/quantflow-deep-learning-quant-framework
Owner: dr413677671
License: gpl-3.0
Created: 2022-11-29T12:26:04.000Z (about 2 years ago)
Default Branch: main
Last Pushed: 2022-11-29T12:29:48.000Z (about 2 years ago)
Last Synced: 2023-07-04T07:28:44.671Z (over 1 year ago)
Topics: deep-learning, keras, matplotlib, quantitative-finance, scikit-learn, seaborn, signal-analysis, signal-processing, tensorflow
Language: Python
Homepage:
Size: 79.1 KB
Stars: 1
Watchers: 2
Forks: 0
Open Issues: 0
Metadata Files:
- Readme: README.md
- License: LICENSE

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README

        




[![Contributors][contributors-shield]][contributors-url]

[![Forks][forks-shield]][forks-url]

[![Stargazers][stars-shield]][stars-url]

[![Issues][issues-shield]][issues-url]








  

    

  



  
Quantflow Deep-learning Quant Framework

  

    A Light-weight Deep-learning Quant Framework

    


    

    


    


    

    Report Bug

    ·

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  Table of Contents

  


    

      About The Project

      

    

    

      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](https://github.com/dr413677671/LSTM-stock-price-prediction/) 

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](https://github.com/dr413677671/LSTM-stock-price-prediction/)。

## Features:

- [x] Model

    - [x] LSTM

    - [x] Seq2seq

    - [x] Resnet50-1D

- [x] Prediction

    - [x] Signal Classification (Buy, Sell, Hold) 信号分类

    - [x] Regression (avg price in next window) 回归

- [x] Backtesting Metrics 回调指标

    - [x] Sharpe 夏普

    - [x] Maximum Drawdown 最大回撤

    - [x] Alpha (regression/annualized) (回归法/年化)

    - [x] Beta (regression/annualized) (回归法/年化)

    - [x] Interval rate of return 平均区间收益率

    - [x] Annualized rate of return (baseline/stretegy) 年化收益率 (基准/策略)

    - [x] backtesting rate of return 策略回测收益率

- [x] others

    - [x] Reversing Trade Support 反向对冲回调策略

    - [x] Sliding Window 滑窗生成器

    - [x] focal_loss

    - [x] class_weighed_sampling 分类权重采样 (抑制类别不均衡)

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### Built With

* [![Tensorflow][Tensorflow]][Tensorflow-url]

* [![Keras][Keras]][Keras-url]

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## Getting Started

### Prerequisites

1) Clone repo.

  ```sh

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

  ```

1) Install dependencies.

  ```sh

  pip install /requirements.txt

  ```

## Usage

**See [LSTM stock price prediction demo](https://github.com/dr413677671/LSTM-stock-price-prediction/)**

## Contact

[](https://github.com/https://github.com/dr413677671)    [](https://www.youtube.com/channel/https://www.youtube.com/@randuan9718/videos)    [](https://www.zhihu.com/people/kumonoue)  

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## Acknowledgments

Based on these brilliant repos:

* [Seq2seq](https://github.com/google/seq2seq)

* [LSTM](https://www.tensorflow.org/api_docs/python/tf/keras/layers/LSTM)

* Logo genetrared by [Stable-Diffusion](https://github.com/CompVis/stable-diffusion)

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[contributors-shield]: https://img.shields.io/github/contributors/dr413677671/Quantflow-deep-learning-quant-framework.svg?style=for-the-badge

[contributors-url]: https://github.com/dr413677671/Quantflow-deep-learning-quant-framework/graphs/contributors

[forks-shield]: https://img.shields.io/github/forks/dr413677671/Quantflow-deep-learning-quant-framework.svg?style=for-the-badge

[forks-url]: https://github.com/dr413677671/Quantflow-deep-learning-quant-framework/network/members

[stars-shield]: https://img.shields.io/github/stars/dr413677671/Quantflow-deep-learning-quant-framework.svg?style=for-the-badge

[stars-url]: https://github.com/dr413677671/Quantflow-deep-learning-quant-framework/stargazers

[issues-shield]: https://img.shields.io/github/issues/dr413677671/Quantflow-deep-learning-quant-framework.svg?style=for-the-badge

[issues-url]: https://github.com/dr413677671/Quantflow-deep-learning-quant-framework/issues

[python-img]: https://img.shields.io/badge/Python-FFD43B?style=for-the-badge&logo=python&logoColor=blue

[python-url]: https://www.python.org/

[Tensorflow]: https://img.shields.io/badge/TensorFlow-FF6F00?style=for-the-badge&logo=tensorflow&logoColor=white

[Tensorflow-url]: https://github.com/tensorflow/tensorflow

[Keras]: https://img.shields.io/badge/Keras-FF0000?style=for-the-badge&logo=keras&logoColor=white

[Keras-url]: https://github.com/keras-team/keras