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clean factor data

Project description

This project is to clean factor data and to prepare for back test.


  • python 3.5
  • pandas 0.22.0
  • numpy 1.14.3
  • pickle
  • sklearn 0.19.1 (for pca only)


from data_box import data_box

    .load_adjPrice(price)\ # 'price' is a pd.DataFrame with dates(20190101 int type) as its index and tickers as its column
    .calc_indweight()\ # calculate industry weight based on index weight and stocks' industry in this index


# save and reload

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