support optimization based strategy #754
Merged
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Support optimization based strategy.
Description
This PR is an initial implementation to close the loop of planning-based portfolio optimization in Qlib workflow. Specifically, we implement the
qlib.contrib.strategy.signal_strategy.EnhancedIndexingStrategy
to support usings building a risk indexing product.Motivation and Context
This PR is a follow-up of #280. Major changes include:
EnhancedIndexingStrategy
under Qlib's new strategy interfaceEnhancedIndexingOptimizer
examples/portfolio
How Has This Been Tested?
This PR has been tested by
qrun examples/portfolio/config_enhanced_indexing.yaml
(need to followexamples/portfolio/README.md
to prepare data first. )Screenshots of Test Results (if appropriate):
Types of changes