Building Formulaic Alphas¶
Introduction¶
In quantitative trading practice, designing novel factors that can explain and predict future asset returns are of vital importance to the profitability of a strategy. Such factors are usually called alpha factors, or alphas in short.
A formulaic alpha, as the name suggests, is a kind of alpha that can be presented as a formula or a mathematical expression.
Building Formulaic Alphas in Qlib
¶
In Qlib
, users can easily build formulaic alphas.
Example¶
MACD, short for moving average convergence/divergence, is a formulaic alpha used in technical analysis of stock prices. It is designed to reveal changes in the strength, direction, momentum, and duration of a trend in a stock’s price.
MACD can be presented as the following formula:
Note
DIF means Differential value, which is 12-period EMA minus 26-period EMA.
`DEA`means a 9-period EMA of the DIF.
Users can use Data Handler
to build formulaic alphas MACD in qlib:
Note
Users need to initialize Qlib
with qlib.init first. Please refer to initialization.
>> from qlib.data.dataset.loader import QlibDataLoader
>> MACD_EXP = '(EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9)/$close'
>> fields = [MACD_EXP] # MACD
>> names = ['MACD']
>> labels = ['Ref($close, -2)/Ref($close, -1) - 1'] # label
>> label_names = ['LABEL']
>> data_loader_config = {
.. "feature": (fields, names),
.. "label": (labels, label_names)
.. }
>> data_loader = QlibDataLoader(config=data_loader_config)
>> df = data_loader.load(instruments='csi300', start_time='2010-01-01', end_time='2017-12-31')
>> print(df)
feature label
MACD LABEL
datetime instrument
2010-01-04 SH600000 -0.011547 -0.019672
SH600004 0.002745 -0.014721
SH600006 0.010133 0.002911
SH600008 -0.001113 0.009818
SH600009 0.025878 -0.017758
... ... ...
2017-12-29 SZ300124 0.007306 -0.005074
SZ300136 -0.013492 0.056352
SZ300144 -0.000966 0.011853
SZ300251 0.004383 0.021739
SZ300315 -0.030557 0.012455
Reference¶
To learn more about Data Loader
, please refer to Data Loader
To learn more about Data API
, please refer to Data API