quant_test / backtest /Readme.md
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ML-Alpha-Research-System/ β”‚ β”œβ”€β”€ data_pipeline/ β”‚ β”œβ”€β”€ load_data.py β”‚ β”œβ”€β”€ clean_data.py β”‚ └── build_dataset.py β”‚ β”œβ”€β”€ factor_engine/ β”‚ β”œβ”€β”€ alpha101_factors.py β”‚ β”œβ”€β”€ gp_factor_mining.py β”‚ β”œβ”€β”€ neutralization.py β”‚ └── factor_evaluation.py β”‚ β”œβ”€β”€ models/ β”‚ β”œβ”€β”€ lightgbm_model.py β”‚ β”œβ”€β”€ xgboost_model.py β”‚ β”œβ”€β”€ mlp_model.py β”‚ └── ensemble.py β”‚ β”œβ”€β”€ backtest/ β”‚ β”œβ”€β”€ portfolio_construction.py β”‚ β”œβ”€β”€ transaction_cost.py β”‚ β”œβ”€β”€ performance_metrics.py β”‚ └── backtest_engine.py β”‚ β”œβ”€β”€ reports/ β”‚ β”œβ”€β”€ factor_report.ipynb β”‚ β”œβ”€β”€ model_report.ipynb β”‚ └── backtest_report.ipynb β”‚ β”œβ”€β”€ README.md └── requirements.txt

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