How calculate: alpha, f and yield.

[mcsimioni]

Hello,

Congratulations on the work. I'm studying your code, is it possible to inform how the data can be calculated: alpha, f and yield.

Thank you very much.

[BingliangLi]

Hi, sorry for my late reply, the alpha and f are calculated using a multifractal algorithm. However this part it's done by my partners and I don't have their code, I can ask them for the code if you are still interested(but no guarantee they still have it).

Also please don't consider this project a rigorous work about finance or market analysis as we are not professionals, it is better to just see it as a machine learning problem(consider alpha and f are just some random features).

Feel free to ask me if you have further questions :)

[BingliangLi]

BTW, here is the data I used in the notebook.

https://drive.google.com/drive/folders/1GmjyktNsurYnMIEQ3sgnoE_xxMO8tzSm?usp=sharing