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原创 如何理解量化交易这样一份工作
量化交易作为职业发展方向，相信量化交易是一个光明的选择，我对量化的看法详见2018.12.18发表的《为什么要学量化，因为证券的黄金十年要来了》一文。自上文发表至今已经过去一年多，大方向的看法依然不变。量化交易体系上文谈的是为什么要做量化，是对量化的一种宏观定性认知。从技术角度，对量化的解构如下。我个人构筑的量化交易框架包含以下几个关键字：时序数据库、回测框架、交易策略、预警系统、...
2020-03-06 08:48:22
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原创 为什么要学量化，因为证券的黄金十年要来了
说最近股市哀鸿遍野有点过分，说它让人很伤心应该没人会反对，但是看到很多人在抱怨，本ID心中有言不吐不快。先说几个客观事实：641上台后，不顾股市流动性，持久ipo；期货品种增加，手续费降低；期权品种增加；房地产严控；外资入市；国企改制，国资入市，国资拯救股票；银行理财资金直接入市；科创板；注册制；…为什么说证券市场的黄金十年要来了，就是上述种种，这些都是有联系的，有目标...
2018-12-18 18:26:10
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原创 20210531-20210606房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210606当日数据截止20210606，国内共有29个省的154个城市公布了二手房在售数据。全国累计在售二手房共3885550套；平均每个城市25230套；其中排名前十的城市为：Items省份城市在售二手房数量0天津天津1474621辽宁沈阳1416082重庆重庆1413463四川成都1217684江苏南京113199
2021-06-07 11:46:43
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原创 20210524-20210530房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210530当日数据截止20210530，国内共有29个省的154个城市公布了二手房在售数据。全国累计在售二手房共3859090套；平均每个城市25059套；其中排名前十的城市为：Items省份城市在售二手房数量0天津天津1469331重庆重庆1408812辽宁沈阳1405173四川成都1220684江苏南京112927
2021-06-07 11:45:32
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原创 理解SPDX
SPDXThe Software Package Data Exchange (SPDE), an open standard for communicating software bill of material information, including components, licenses, copyrights, and security references.SPDX is an open source project hosted by the Linux Foundation...
2021-06-06 15:45:21
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原创 20210517-20210523房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210523当日数据截止20210523，国内共有29个省的154个城市公布了二手房在售数据。全国累计在售二手房共3852481套；平均每个城市25016套；其中排名前十的城市为：Items省份城市在售二手房数量0天津天津1478731重庆重庆1418932辽宁沈阳1394493四川成都1250754江苏南京112474
2021-05-25 13:09:41
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原创 20210510-20210516房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210516当日数据截止20210516，国内共有29个省的152个城市公布了二手房在售数据。全国累计在售二手房共3864934套；平均每个城市25427套；其中排名前十的城市为：Items省份城市在售二手房数量0天津天津1470381重庆重庆1456932辽宁沈阳1392583四川成都1255194江苏南京112017
2021-05-17 16:17:33
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原创 20210503-20210509房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210509当日数据截止20210509，国内共有29个省的151个城市公布了二手房在售数据。全国累计在售二手房共3844798套；平均每个城市25462套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1546841天津天津1459062辽宁沈阳1365423四川成都1269984江苏南京111562
2021-05-11 12:41:19
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原创 20210426-20210502房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210502当日数据截止20210502，国内共有29个省的151个城市公布了二手房在售数据。全国累计在售二手房共3849448套；平均每个城市25493套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1597821天津天津1453762辽宁沈阳1350523四川成都1283714江苏南京110756
2021-05-06 09:43:41
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原创 理解分区策略及相关概念in DolphinDB
Overview分区是对数据库进行深入了解的关键入口。ddb是为OLAP设计的系统，主要是解决：海量结构化数据的快速存储和计算；通过内存数据库和流数据计算引擎实现高性能数据处理ddb不适合数据频繁更改的OLTP；什么是好的分区策略一个好的分区策略通过只读取查询所需的相关数据来减少要扫描的数据量。怎么叫所谓“不好”如果分区机制设计不合理，对数据库的查询、计算以及其它操作都可能受到“磁盘访问I/O”这个瓶颈的限制。磁盘访问I/O理解磁盘访问I/ODDB的架构..
2021-05-05 13:39:23
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原创 理解MPP(Massively Parallel Processing) in database
OverviewWhile storage and computing power have come long a way in the last several decades, the unfortunate reality is that they haven’t kept up with modern data storage and analysis needs.MPP databases solve this problem by allotting the required proc..
2021-05-05 13:38:13
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原创 理解磁盘访问I/O性能||IO Workload Profiles
Overview关于数据库的性能，对于column-oriented database，很多时候性能取决于计算机硬件的磁盘访问I/O性能。一、Workload ProfilesWorkload ProfilesIn the most generic sense, a workload profile describes the behavior of an application, or portion of an application with respect to how it p..
2021-05-05 13:37:12
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原创 理解iostat in Linux
iostatThe iostat is a part of the sysstat package, which is really just a file that is read by a certain set of tools. So to install iostat, issue the command:sudo apt install sysstat返回参数详解。iostat command generally generates two reports:CPU utiliz..
2021-05-05 13:36:11
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原创 20210419-20210425房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210425当日数据截止20210425，国内共有29个省的150个城市公布了二手房在售数据。全国累计在售二手房共3833067套；平均每个城市25553套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1622151天津天津1444552辽宁沈阳1344073四川成都1286264江苏南京110754
2021-04-26 15:29:23
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原创 《The Fundamentals of Control Theory》读书笔记
OverviewAs an engineer, it is crucial that you are able to describe your system in an efficient and useful manner.DefinationsThe best reason to learn control theoryThe best reason to learn control theory is that it is the glue that combines all ..
2021-04-24 14:59:54
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原创 理解证券行业“行业分类
Overview经常看到各种行业分类，申万行业、wind行业、中信行业等等，总是迷迷糊糊的。关于“分类”的分类，一般有两种：管理型（国民经济行业分类）用于行政管理；ISIC(International Standard Industrial Classification)联合国国际标准产业分类；NAICS(North American Industry Classification System)北美行业分类系统；中国国家统计局《国民经济行业分类标准》；中国证监会《上市公司行业分类指..
2021-04-24 14:51:42
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原创 初识PID proportion integration differentiation
PID controllerA proportional-integral-derivative controller (PID controller or three-term controller) is a control loop mechanism employing feedback that is widely used in industrial control systems and a variety of other applications requiring continuo..
2021-04-24 14:49:17
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原创 理解function and function call||reference to function in Python
Overviewdef function_name(): print("haha")function_name is a reference to the function;function_name() refers to the result of evaluating the function;ReferencesReal Python: Primer on Python DecoratorsStackOverflow: Calling a function of ..
2021-04-24 14:30:37
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原创 (20210412Solved)Grafana一张图只能显示26
Overview向Grafana某个panel中添加超过26条线之后，后续的线显示不出来。用英语表述maybe:How to display more than 26 sqls in Grafana ?SolutionYou can manually edit the JSON file and replace the letters with numbers in refId.Grafana默认添加line后期refId是依据Alphabeta递增的，超过26个英文字母之后，ref..
2021-04-24 14:28:45
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原创 理解Instance, Class, Static Methods in Python
Overview理解decorator pattern in PythonHow many types of methods in PythonGenerally, there are three types of methods in Python:Instance MethodsClass MethodsStatic MethodsKnowing the differences isn’t always required to code basic Python scrip..
2021-04-24 14:27:40
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原创 理解lexeme, syntax, semantic in Compiler
LexemeA lexeme is a unit of lexical meaning that underlies a set of words that are related through inflection.It is a basic abstract unit of meaning, a unit of morphological analysis in linguistics that roughly corresponds to a set of forms taken by a ..
2021-04-24 14:26:21
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原创 理解offset in Python
Overview在Python函数中，经常出现offset相关参数。大概理解是与频率、位置之类的概念相关，具体怎么理解呢？Offset alias in PandasFrom Pandas (notes its pandas not python) docs: Time series / date functionalityA number of string aliases are given to useful common time series frequencies. We wi..
2021-04-24 14:25:11
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原创 理解RDMA，NVMe
RDMARemote Direct Memory Access (RDMA) is a direct memory access from the memory of one computer into that of another without involving either one’s operating system.This permits high-throughput, low-latency networking, which is especially useful in ma..
2021-04-24 14:24:06
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原创 理解pct_change()&shift() in Python
Overview理解offset in Pythonpct_change(periods=1, fill_method='pad', limit=None, freq=None, **kwargs)Percentage change between the current and a prior element.fill_method mean how to handle NAs before computing percent changes;limit also about the..
2021-04-24 14:23:54
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原创 理解reduce(), map(), filter(), anonymous in Python
OverviewWhat is an anonymous function/method or lambda?Anonymous functionAn anonymous method is a method without a name, i.e. not bound to an identifier like when we define a method using def method:.Anonymous functions are often arguments being pa..
2021-04-23 21:03:08
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原创 理解Inline Image||Reference Image||Html Image||Size Image||Align Image in markdown
OverviewFrom [1], there are many types for markdown image.Inline & Reference are the two style for image in markdown.Inline ImageAn inline image is a graphic image that is inserted into a web page to add visual appeal, provide information or to..
2021-04-23 21:02:11
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原创 理解three-address code||Register allocation
OverviewFrom dragon book, three-address code consists of a sequence of asembly-like instructions with three operands per instruction.Each operand can act like a register.Three-address codeThree-address code (TAC, 3AC) is an intermedia code used by ..
2021-04-23 21:00:27
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原创 理解定时任务(scheduleJob)与批处理作业 in DolphinDB
Overview关于如何查看两者各自的运行情况，有些许重复，需要理清。定时任务物理层面机理定时作业用一个函数来表示，通过scheduleJob函数提交，并按设定时间在后台运行。作业创建后，作业相关定义信息序列化保存到数据节点的磁盘文件<homeDir>/sysmgmt/jobEditlog.meta；节点重启后，系统会反序列化并加载定时作业；定时作业每次运行的结果会保存到节点磁盘上，通过getJobMessage和getJobReturn查看每个作业的运行日志和返回值；..
2021-04-23 20:58:43
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原创 理解decorator pattern in Python
OverviewFrom [1], Decorator pattern (or simply called a decorator) is a design pattern.Decoraters are simply functions, it performs a task, the difference to the common function is that decorators apply logic or change the behavior of other functions...
2021-04-23 20:56:36
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原创 理解first-class objects in functional programming
OverviewIn functional programming, you work only with pure functions without side effects;In Python, functions also have side effects rather than just turing an input into an output;In Python, functions are first-class objects, which means that functi..
2021-04-23 20:55:08
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原创 理解first-order vs. higher-order function
OverviewIn Python, decorators provide a simple syntax for calling higher-order functions.Higher-order functionA higher-order function is a function that does at least one of the following:takes one or more functions as arguments (procedural parame..
2021-04-23 20:53:32
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原创 《Compilers: Principles, Techniques, & Tools》读书笔记
CompilerProgramming languages are notations for describing computations to people and to machines.Before a program can be run, it first must be translated into a form in which it can be executed by a computer.The software systems that do this translat..
2021-04-23 20:50:42
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原创 理解流表对偶性duality in database
OverviewFrom [1], DolphinDB天然具备流表对偶性，支持使用SQL语句进行数据注入和查询分析。Duality in MathematicsIn mathematics, a duality translates concepts, theorems or mathematical structures into other concepts, theorems or structures, in a one-to-one fashion, often (but not a..
2021-04-23 20:47:26
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原创 理解auto-tuning in database
OverviewA variety of ongoing industrial research efforts attempt to improve the ablility of a DBMS to make tuning decisions.Database tuningDatabase tuning describes a group of activities used to optimize and homogenize the performance of a database...
2021-04-23 20:45:46
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原创 20210412-20210418房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210418当日数据截止20210418，国内共有29个省的150个城市公布了二手房在售数据。全国累计在售二手房共3813673套；平均每个城市25424套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1629171天津天津1433522辽宁沈阳1348943四川成都1294364江苏南京110475
2021-04-20 09:11:35
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原创 20210401-20210411房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210411当日数据截止20210411，国内共有29个省的149个城市公布了二手房在售数据。全国累计在售二手房共3767055套；平均每个城市25282套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1636221天津天津1423132辽宁沈阳1322003四川成都1292104江苏南京109776
2021-04-19 09:48:13
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原创 20210301-20210331房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210331当日数据截止20210331，国内共有29个省的146个城市公布了二手房在售数据。全国累计在售二手房共3725228套；平均每个城市25515套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1628211天津天津1407472四川成都1290573辽宁沈阳1279404江苏南京108148
2021-04-17 10:19:27
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原创 20210201-20210228房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210228当日数据截止20210228，国内共有29个省的143个城市公布了二手房在售数据。全国累计在售二手房共3658291套；平均每个城市25582套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1657331天津天津1341772四川成都1290073辽宁沈阳1208004江苏南京105285
2021-04-16 09:12:01
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原创 20210101-20210131房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20210131当日数据截止20210131，国内共有29个省的141个城市公布了二手房在售数据。全国累计在售二手房共3600920套；平均每个城市25538套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1676921天津天津1320572四川成都1300573辽宁沈阳1163144江苏南京103700
2021-04-15 09:39:16
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原创 20201201-20201231房事报告
Overview房住不炒，不改房事重大!以贝壳数据为基础，分析当前二手房数据，一窥房事究竟20201231当日数据截止20201231，国内共有29个省的136个城市公布了二手房在售数据。全国累计在售二手房共3597737套；平均每个城市26453套；其中排名前十的城市为：Items省份城市在售二手房数量0重庆重庆1635341四川成都1329952天津天津1320483辽宁沈阳1144634江苏南京103786
2021-04-14 11:30:18
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20171122-招商证券-招商证券因子模型系列之一：基于增量信息逐层解释的因子模型框架搭建.pdf
2019-12-12
20180106-方正证券-方正证券“星火”多因子系列报告（一）：Barra模型初探，A股市场风格解析.pdf
2019-08-29
20170501-光大证券-光大证券多因子系列报告之三：多因子组合光大Alpha1.0.pdf
2019-08-27
Volatility-based technical analysis strategies for trading the invisible
2019-04-07
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