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复权问题 #2

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M1A2SEPTUSKII opened this issue Sep 17, 2023 · 3 comments
Open

复权问题 #2

M1A2SEPTUSKII opened this issue Sep 17, 2023 · 3 comments

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@M1A2SEPTUSKII
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我想用后复权数据训练模型，但是你用的Akshare接口下载的东财数据，其中成交额是按不复权股价计算的，所以因子计算中平均成交价也是不复权的，即使开收高低都是后复权。由于东财的后复权算法是闭源的，我无法将成交额从不复权修正成后复权，这应该会影响因子模型。我尝试了Akshare的新浪端口，新浪的复权算法是开源的(算法与东财不同)，但新浪端口历史数据不含成交额，所以平均成交价直接求不出来了。请问您有什么建议吗？谢谢！
@popbo
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popbo commented Sep 17, 2023

可以看一下baostock的数据接口，有复权因子的数据

@M1A2SEPTUSKII
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可以看一下baostock的数据接口，有复权因子的数据

谢谢，我搞好了，用东财的交易额算出交易均价后在从新浪接口拿到复权因子乘一下就好，我想问下您是习惯拿不复权的数据进行研究吗，那怎么处理除权除息问题？

@popbo
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popbo commented Sep 20, 2023

回测要用复权的数据，因子计算不一定要用复权数据，可以都试试

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@popbo @M1A2SEPTUSKII