demo.fit.cfg <- list(
univ = 'sh',
mkt = 'CHINA_STOCK',
freq = 'DAILY',
rt.pattern = 'fwd.Ret.DAILY.N',
root.dir = '~/data',
report.dir = '~/report/', # where to save report and fitted alpha
periods = c(1, 5),
focus.period = 5,
dates = list(
ins.rule.file = '~/data/dates/fitdate',
ins.group = 'INS1',
sdate = 20151102,
edate = 20160201,
omit.days = NULL,
os.sdate = 20160202,
os.edate = 20160301,
oos.group = c("INS1","INS2","OOS")
),
fitter.list = list(
OLS = list(mode="ALL",fit.func="OLS"),
LM = list(mode="ALL",fit.func="LM"),
CVNET=list(mode="ALL",fit.func="CVNET"),
NNLS = list(mode="ALL",fit.func="NNLS"),
OLSROLL63 = list(mode="ROLL",fit.func="OLS",WINDOW=63),
CVNETROLL = list(mode = "ROLL", fit.func = "CVNET", WINDOW = 63),
CVNETROLL100HL30N1=list(mode="ROLL",fit.func="CVNET",WINDOW=100,HL=30,NDAY=1)
),
sampler.list = list(
ALL=list(group.type="ALL", group.name = 'ALL',
dir.list = c("~/data/alpha/CHINA_STOCK/DAILY/f1/","~/data/alpha/CHINA_STOCK/DAILY/f2/"),
quantile.var = NULL, quantile.range = NULL,
univ.set = NULL, time.set = NULL)
),
model.list = list(
ALL = "ALL_",
test=c("f1","f2")
),
fit.list = list(
fit.test = list(sampler="ALL",fitter="CVNET",model="test")
)
)
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