Please refer to the medium post:
Jupyter notebook to execute alpha research process without Machine Learning.
Functions are defined in myalpha package.
Add Machine Learning to generate Alpha vector on top of the base process.
This include the following modules used in the notebook for basic alpha research
Utility functions to handle input data
Statistical (PCA) based risk model functions
Defines Alpha Factors
Classes and functions for Machine Learning process to create AI Alpha
Performance measurement and visualization functions using alphalens
Optimization classes to calculate optimal holding based on the constraints