https://github.com/efjerryyang/worldquant-brain-simulator

This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain
https://github.com/efjerryyang/worldquant-brain-simulator

Last synced: about 1 month ago
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This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain

• Host: GitHub
• URL: https://github.com/efjerryyang/worldquant-brain-simulator
• Owner: efJerryYang
• License: gpl-3.0
• Created: 2023-03-22T07:56:38.000Z (almost 2 years ago)
• Default Branch: main
• Last Pushed: 2024-02-29T01:41:21.000Z (11 months ago)
• Last Synced: 2024-02-29T02:38:19.856Z (11 months ago)
• Language: Python
• Size: 2.36 MB
• Stars: 4
• Watchers: 1
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# WorldQuant BRAIN Simulator

## Introduction

This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain

## Demo

Some problems exist (data, expressions, procedure), so the results are still different from the platform's.

![insample](./docs/insample.png)

![insample_platform](./docs/insample_platform.png)

## Project Structure

```sh

worldquant-brain-simulator/

|-- data

|   `-- stock_snowball_us.db

|-- docs

|-- LICENSE

|-- README.md

|-- requirements.txt

`-- src

    |-- alpha_pool

    |   |-- alpha101.py

    |   |-- alpha.py

    |   |-- expression.py

    |   `-- __init__.py

    |-- datasource

    |   |-- database.py

    |   |-- fetch.py

    |   `-- __init__.py

    |-- main.py

    `-- simulator

        |-- __init__.py

        |-- settings.yaml

        |-- simulate.py

        `-- util.py

```

## References

- The fast expression and Alpha 101 implementation: [WorldQuant_alpha101_code](https://github.com/yli188/WorldQuant_alpha101_code)