liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-14 16:26:55 +08:00
Code Activity

fix_pylint_for_CI (#1119)

Browse Source 
* fix_pylint_for_CI

* reformat_with_black

* fix_pylint_C3001

* fix_flake8_error
This commit is contained in:
Linlang
2022-06-09 16:12:33 +08:00
committed by GitHub
parent 1a4114b683
commit 1ef8e61abd
11 changed files with 40 additions and 15 deletions
Download Patch File Download Diff File Expand all files Collapse all files

9
qlib/contrib/eva/alpha.py
View File

@@ -48,7 +48,9 @@ def calc_long_short_prec(
group = df.groupby(level=date_col)
N = lambda x: int(len(x) * quantile)
def N(x):
return int(len(x) * quantile)
# find the top/low quantile of prediction and treat them as long and short target
long = group.apply(lambda x: x.nlargest(N(x), columns="pred").label).reset_index(level=0, drop=True)
short = group.apply(lambda x: x.nsmallest(N(x), columns="pred").label).reset_index(level=0, drop=True)
@@ -98,7 +100,10 @@ def calc_long_short_return(
if dropna:
df.dropna(inplace=True)
group = df.groupby(level=date_col)
N = lambda x: int(len(x) * quantile)
def N(x):
return int(len(x) * quantile)
r_long = group.apply(lambda x: x.nlargest(N(x), columns="pred").label.mean())
r_short = group.apply(lambda x: x.nsmallest(N(x), columns="pred").label.mean())
r_avg = group.label.mean()