├── .gitignore ├── .pre-commit-config.yaml ├── README.md ├── data ├── params │ ├── model.json │ ├── performance.json │ └── strategy.json └── report_df │ ├── irs.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=10-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=11-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=12-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=13-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=14-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=2-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=3-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=4-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=5-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=6-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=7-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=8-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=1.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=2.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=3.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=4.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=5.xlsx │ ├── region=cn-instruments=csi300-benchmark_feature=None-deal_price=open-days_ahead=9-loss_type=mse-label_norm=CSZScoreNorm-model_type=default-strategy_type=best-hold_thresh=6.xlsx │ └── rids.xlsx ├── examples ├── action_distribution_explanation.ipynb ├── multivariate_categorical.ipynb ├── multivariate_hypergeometric_distribution.ipynb ├── rl.ipynb ├── rl_plot_metrics.ipynb └── sl.ipynb ├── longcapital ├── __init__.py ├── contrib │ ├── __init__.py │ ├── data │ │ ├── __init__.py │ │ ├── handler.py │ │ └── utils │ │ │ ├── __init__.py │ │ │ └── neutralize.py │ └── model │ │ ├── __init__.py │ │ └── gbdt.py ├── data │ ├── __init__.py │ ├── dataset │ │ ├── __init__.py │ │ ├── processor.py │ │ └── weight.py │ └── ops.py ├── rl │ ├── __init__.py │ ├── order_execution │ │ ├── __init__.py │ │ ├── aux_info.py │ │ ├── buffer.py │ │ ├── interpreter.py │ │ ├── policy │ │ │ ├── __init__.py │ │ │ ├── continuous │ │ │ │ ├── __init__.py │ │ │ │ ├── ddpg.py │ │ │ │ ├── ppo.py │ │ │ │ ├── sac.py │ │ │ │ └── td3.py │ │ │ └── discrete │ │ │ │ ├── __init__.py │ │ │ │ └── ppo.py │ │ ├── reward │ │ │ ├── __init__.py │ │ │ ├── episode.py │ │ │ └── execution.py │ │ ├── simulator.py │ │ ├── state.py │ │ ├── strategy.py │ │ └── utils.py │ └── utils │ │ ├── __init__.py │ │ ├── distributions │ │ ├── __init__.py │ │ ├── multivariate_categorical.py │ │ └── multivariate_hypergeometric.py │ │ └── net │ │ ├── __init__.py │ │ ├── common.py │ │ ├── continuous.py │ │ └── discrete.py ├── utils │ ├── __init__.py │ ├── constant.py │ ├── io.py │ └── time.py └── workflow │ ├── __init__.py │ └── record_temp.py ├── pyproject.toml ├── requirements.txt ├── scripts ├── download_crowd_source_qlib_data.sh ├── download_data_once_cn.sh └── download_data_once_us.sh ├── setup.cfg └── setup.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ChenglongChen/Long-Capital/HEAD/.gitignore -------------------------------------------------------------------------------- /.pre-commit-config.yaml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ChenglongChen/Long-Capital/HEAD/.pre-commit-config.yaml -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 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