Rong Liu 2015-11-23

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accomplish week

  • multi-factors model
  • code the data api in our server for tonglian server is too slow
  • test the lasso method. the standardize method is not useful
  • test the different factors(10,50,133) and different history(30,60,100). not useful
  • add the Kelly Formula to control the cash, not useful

next week

  • check the code of multi-factor
  • test the lasso method
  • using Cross-validation to find the best alpha
  • check the factors, it is same class and the meaning?
  • add the quadratic programming to control the profit and risk