├── Projects ├── DNN │ ├── .ipynb_checkpoints │ │ ├── binary_cov_chance-checkpoint.ipynb │ │ ├── binary_cov_chance-v2-checkpoint.ipynb │ │ ├── binary_cov_chance_Copy3-checkpoint.ipynb │ │ ├── binary_cov_chance_v1-checkpoint.ipynb │ │ ├── dnn-checkpoint.ipynb │ │ ├── zz800net-checkpoint.ipynb │ │ └── zz800net_dataPre-checkpoint.ipynb │ ├── binary_cov_chance-v2.ipynb │ ├── binary_cov_chance.ipynb │ ├── binary_cov_chance_Copy3.ipynb │ ├── binary_cov_chance_v1.ipynb │ ├── dnn.ipynb │ ├── gabdnn.py │ ├── zz800net.ipynb │ └── zz800net_dataPre.ipynb ├── FactorEvaluation │ ├── Condensed │ │ ├── .ipynb_checkpoints │ │ │ └── stock_wb-checkpoint.ipynb │ │ ├── Factors_class.py │ │ ├── Test_Samples.csv │ │ ├── factor_tester.py │ │ ├── signal_producer.py │ │ ├── stock_wb.ipynb │ │ └── utility.py │ ├── Elaborated │ │ ├── .ipynb_checkpoints │ │ │ └── stock_wb-checkpoint.ipynb │ │ ├── Factors_class.py │ │ ├── __pycache__ │ │ │ ├── Factors_class.cpython-36.pyc │ │ │ ├── factor_tester.cpython-36.pyc │ │ │ ├── signal_producer.cpython-36.pyc │ │ │ └── utility.cpython-36.pyc │ │ ├── factor_tester.py │ │ ├── signal_producer.py │ │ ├── stock_wb.ipynb │ │ └── utility.py │ └── Readme.md ├── GeneticProgram │ ├── README.md │ ├── backtest.py │ ├── dependencies │ │ ├── TA_Lib-0.4.19-cp38-cp38-win_amd64.whl │ │ └── requirement.txt │ ├── factor_mining_mp.py │ ├── factor_update_full.py │ ├── gplearn_functions.py │ ├── jqfunc.py │ ├── save_data_to_local.py │ └── utilities.py ├── MacroObservations │ ├── .idea │ │ ├── .gitignore │ │ ├── MacroObservations.iml │ │ ├── csv-plugin.xml │ │ ├── inspectionProfiles │ │ │ ├── Project_Default.xml │ │ │ └── profiles_settings.xml │ │ ├── misc.xml │ │ └── modules.xml │ ├── Asset_Monitor.png │ ├── Asset_Monitor.py │ ├── Asset_Monitor_Graph.py │ ├── Gold_Silver_Ratio.py │ └── dataset │ │ ├── cpi.csv │ │ ├── global_future.csv │ │ ├── house_price.csv │ │ └── market_data.csv ├── Option │ ├── Option.tar.gz │ ├── Option │ │ ├── .ipynb_checkpoints │ │ │ └── IV_and_RV-checkpoint.ipynb │ │ ├── IV_and_RV.ipynb │ │ ├── OptionData.csv │ │ └── OptionData.tar.gz │ └── pyoption │ │ ├── HESTON.py │ │ ├── RVolatility.py │ │ ├── SVI.py │ │ ├── SVI2.py │ │ ├── Solver.py │ │ ├── VannaVolga.py │ │ ├── __init__.py │ │ ├── option_helper.py │ │ └── option_numba.py ├── Outsider │ └── llinvestment │ │ ├── data │ │ └── SH000300.csv │ │ ├── hfstock │ │ ├── __init__.py │ │ ├── archive │ │ │ ├── main_v1.py │ │ │ ├── main_v2.py │ │ │ └── main_v3.py │ │ ├── evaluate.py │ │ ├── input_data_252d_100c_21f.parq │ │ ├── input_data_252d_300c_7f.parq │ │ ├── input_data_252d_81c_21f.parq │ │ └── main.py │ │ ├── llquant │ │ ├── __init__.py │ │ ├── evaluation.py │ │ ├── factor_pool.py │ │ ├── numba_recursive.py │ │ ├── requirements.txt │ │ └── utilities.py │ │ ├── references │ │ ├── Tan, Yan and Zhu. (2019) Stock selection with random forest - An exploitation of excess return in the Chinese stock market.pdf │ │ └── 高频价量因子在股票和期货中的表现.pdf │ │ └── summary.md └── README.md ├── README.md └── gqp ├── README.md.txt ├── archive ├── dynamic_computing.py ├── ewm_vs_rolling.ipynb ├── groupby.py ├── make_effective_bar.py ├── numba_recursive.py ├── numba_recursive_test.ipynb └── sigmoid.ipynb ├── jqfunc.py ├── pyoption ├── HESTON.py ├── RVolatility.py ├── SVI.py ├── SVI2.py ├── Solver.py ├── VannaVolga.py ├── __init__.py ├── __pycache__ │ ├── RVolatility.cpython-38.pyc │ ├── __init__.cpython-38.pyc │ └── option_numba.cpython-38.pyc ├── option_helper.py └── option_numba.py ├── utilities ├── __init__.py ├── __pycache__ │ ├── __init__.cpython-37.pyc │ ├── __init__.cpython-38.pyc │ ├── compute.cpython-37.pyc │ ├── compute.cpython-38.pyc │ ├── convert.cpython-37.pyc │ ├── convert.cpython-38.pyc │ ├── data_tools.cpython-37.pyc │ ├── data_tools.cpython-38.pyc │ ├── numba_recursive.cpython-37.pyc │ ├── numba_recursive.cpython-38.pyc │ ├── observe.cpython-37.pyc │ ├── observe.cpython-38.pyc │ ├── rolling.cpython-37.pyc │ ├── rolling.cpython-38.pyc │ └── sys.cpython-38.pyc ├── compute.py ├── convert.py ├── data_tools.py ├── numba_recursive.py ├── observe.py └── rolling.py ├── v1 ├── __init__.py ├── __pycache__ │ ├── __init__.cpython-36.pyc │ ├── gabFunc.cpython-36.pyc │ ├── gabStat.cpython-36.pyc │ └── settings.cpython-36.pyc ├── demo.py ├── demo_Copy.py ├── gabBT.py ├── gabFunc.py ├── gabStat.py ├── gabTA.py ├── gabTS.py ├── gabperformance.py ├── gabplots.py ├── gabpycoral.py ├── recycle.py └── settings.py └── v2 ├── RiskAdjustedReturnMetrics.py ├── __init__.py ├── demo_local.py ├── gabBT.py ├── gabFactors.py ├── gabFunc.py ├── gabStat.py ├── gabTA.py ├── gabTS.py ├── gabperformance.py ├── gabplots.py ├── pd_talib.py ├── recycle_bins.py ├── settings.py ├── test_groupby.py ├── test_stock_data_intraday.csv └── turning_points.py 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