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IC/IR指标评估 #130

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yangrq1018 opened this issue Nov 21, 2023 · 9 comments
Open

IC/IR指标评估 #130

yangrq1018 opened this issue Nov 21, 2023 · 9 comments

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@yangrq1018
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有没有计划加上IC/IR/ICIR这样的评估系统，打印一个表出来
@fasiondog
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留个QQ或者微信，或者私聊我下，先讨论下

@yangrq1018
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微信发你邮箱了

@fasiondog
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试下 MF

@yangrq1018
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我先简单看了下代码，在普通算子里是加上了一个时序上的IC？在multifactor里是做了一个截面上的IC？
这么理解准确吗，都是包装在算子的形式里。

@fasiondog
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我先简单看了下代码，在普通算子里是加上了一个时序上的IC？在multifactor里是做了一个截面上的IC？ 这么理解准确吗，都是包装在算子的形式里。

是的，IC也是指标实现的，MF只是取截面

@yangrq1018
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好，我跑下测试看看

@yangrq1018
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建议除了spearman之外，把pearson ic也加上，虽然spearman用的比较多。

@fasiondog
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那要等等，晚些再弄

@fasiondog
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建议除了spearman之外，把pearson ic也加上，虽然spearman用的比较多。

ed7be6c
增加了 spearman 参数控制

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@fasiondog @yangrq1018