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88 lines
2.4 KiB
88 lines
2.4 KiB
3 weeks ago
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# Alpha Lab
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Quantitative research experiments for qshare library. This repository contains Jupyter notebooks and analysis scripts for exploring trading strategies and machine learning models.
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## Philosophy
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- **Notebook-centric**: Experiments are interactive notebooks, not rigid scripts
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- **Minimal abstraction**: Simple functions over complex class hierarchies
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- **Self-contained**: Each task directory is independent
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- **Ad-hoc friendly**: Easy to modify for exploration
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## Structure
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```
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alpha_lab/
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├── common/ # Shared utilities (keep minimal!)
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│ ├── paths.py # Path management
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│ └── plotting.py # Common plotting functions
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│
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├── cta_1d/ # CTA 1-day return prediction
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│ ├── 01_data_check.ipynb
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│ ├── 02_label_analysis.ipynb
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│ ├── 03_baseline_xgb.ipynb
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│ ├── 04_blend_comparison.ipynb
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│ └── src/ # Task-specific helpers
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│
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├── stock_15m/ # Stock 15-minute return prediction
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│ ├── 01_data_exploration.ipynb
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│ ├── 02_baseline_model.ipynb
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│ └── src/
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│
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└── results/ # Output directory (gitignored)
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├── cta_1d/
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└── stock_15m/
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```
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## Setup
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```bash
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# Install dependencies
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pip install -r requirements.txt
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# Create environment file
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cp .env.template .env
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# Edit .env with your settings
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```
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## Usage
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Start Jupyter and run notebooks interactively:
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```bash
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jupyter notebook
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```
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Each task directory contains numbered notebooks:
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- `01_*.ipynb` - Data loading and exploration
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- `02_*.ipynb` - Analysis and baseline models
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- `03_*.ipynb` - Advanced experiments
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- `04_*.ipynb` - Comparisons and ablations
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## Experiment Tracking
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Experiments are tracked manually in `results/{task}/README.md`:
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```markdown
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## 2025-01-15: Baseline XGB
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- Notebook: `cta_1d/03_baseline_xgb.ipynb` (cells 1-50)
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- Config: eta=0.5, lambda=0.1
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- Train IC: 0.042
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- Test IC: 0.038
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- Notes: Dual normalization, 4 trades/day
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```
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## Adding a New Task
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1. Create directory: `mkdir my_task`
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2. Add `src/` subdirectory for helpers
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3. Create numbered notebooks
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4. Add entry to `results/my_task/README.md`
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## Best Practices
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1. **Keep it simple**: Only add to `common/` after 3+ copies
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2. **Notebook configs**: Define CONFIG dict in first cell for easy modification
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3. **Document results**: Update results README after significant runs
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4. **Git discipline**: Don't commit large files, results, or credentials
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