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improve perf of robust zscore processor

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Dong Zhou
2020-11-26 12:25:39 +08:00
parent d0ca52f3fd
commit 37cc51465c
1 changed files with 4 additions and 2 deletions
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6
qlib/data/dataset/processor.py
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@@ -222,8 +222,10 @@ class RobustZScoreNorm(Processor):
self.std_train *= 1.4826 self.std_train *= 1.4826
def __call__(self, df): def __call__(self, df):
df.loc(axis=1)[self.cols] -= self.mean_train X = df[self.cols]
df.loc(axis=1)[self.cols] /= self.std_train X -= self.mean_train
X /= self.std_train
df[self.cols] = X
if self.clip_outlier: if self.clip_outlier:
df.clip(-3, 3, inplace=True) df.clip(-3, 3, inplace=True)
return df return df