Tired of spending countless mintues downsampling your data? Look no further!
In this article, you’ll learn how to efficiently downsample 6.48 billion high-frequency records to 61 million minute-level records in only 41 seconds in DolphinDB.
The basic configuration of the DolphinDB server is:
16 CPU cores
256 GB memory
4 SSDs
A DolphinDB cluster with 4 data nodes is deployed, and...
DolphinDB
Last Activity: Aug 19 '24, 11:05 AM
Joined: Feb 19 '24
Location:
-
How to Downsample Your Data Efficiently
-
A Simpler Way to Calculate WorldQuant 101 Alphas
The formulas of 101 quantitative trading alphas used by WorldQuant were presented in the paper 101 Formulaic Alphas. However, some formulas are complex, leading to challenges in calculation.
Take the calculation formula of Alpha#98 for example, and the data we use is the daily data from the New York Stock Exchange.
...Code:Kakushadze et al 2015 Alpha #98: (rank(decay_linear(correlation(vwap, sum(adv5, 26.4719), 4.58418), 7.18088))
No activity results to display