聚宽源码03

机器学习多因子策略

原文策略源码如下：

import pandas as pd
import numpy as np
import math
from sklearn.svm import SVR  
from sklearn.model_selection import GridSearchCV  
from sklearn.model_selection import learning_curve
from sklearn.linear_model import LinearRegression
from sklearn.ensemble import RandomForestRegressor
import jqdata

def initialize(context):
    set_params()
    set_backtest()
    run_daily(trade, 'every_bar')
    
def set_params():
    g.days = 0
    g.refresh_rate = 10
    g.stocknum = 10
    
def set_backtest():
    set_benchmark('000001.XSHG')
    set_option('use_real_price', True)
    log.set_level('order', 'error')
    
def trade(context):
    if g.days % 10 == 0:
        sample = get_index_stocks('000001.XSHG', date = None)<