| .. _alpha: |
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| ========================= |
| Building Formulaic Alphas |
| ========================= |
| .. currentmodule:: qlib |
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| Introduction |
| ============ |
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| 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. |
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| A formulaic alpha, as the name suggests, is a kind of alpha that can be presented as a formula or a mathematical expression. |
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| Building Formulaic Alphas in ``Qlib`` |
| ===================================== |
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| In ``Qlib``, users can easily build formulaic alphas. |
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| Example |
| ------- |
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| `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. |
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| `MACD` can be presented as the following formula: |
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| .. math:: |
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| MACD = 2\times (DIF-DEA) |
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| .. note:: |
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| `DIF` means Differential value, which is 12-period EMA minus 26-period EMA. |
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| .. math:: |
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| DIF = \frac{EMA(CLOSE, 12) - EMA(CLOSE, 26)}{CLOSE} |
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| `DEA` means a 9-period EMA of the DIF. |
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| .. math:: |
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| DEA = EMA(DIF, 9) |
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| Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib: |
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| .. note:: Users need to initialize ``Qlib`` with `qlib.init` first. Please refer to `initialization <../start/initialization.html>`_. |
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| .. code-block:: python |
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| >> from qlib.data.dataset.loader import QlibDataLoader |
| >> MACD_EXP = '2 * ((EMA($close, 12) - EMA($close, 26))/$close - EMA((EMA($close, 12) - EMA($close, 26))/$close, 9))' |
| >> 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 0.008781 -0.019672 |
| SH600004 0.006699 -0.014721 |
| SH600006 0.005714 0.002911 |
| SH600008 0.000798 0.009818 |
| SH600009 0.017015 -0.017758 |
| ... ... ... |
| 2017-12-29 SZ300124 0.015071 -0.005074 |
| SZ300136 -0.015466 0.056352 |
| SZ300144 0.013082 0.011853 |
| SZ300251 -0.001026 0.021739 |
| SZ300315 -0.007559 0.012455 |
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| Reference |
| ========= |
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| To learn more about ``Data Loader``, please refer to `Data Loader <../component/data.html#data-loader>`_ |
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| To learn more about ``Data API``, please refer to `Data API <../component/data.html>`_ |
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